By ship is the most simple way. Without checkong out, you can make an inquiry for the train ticket from Hong Kong Airport to Jiuzhou Port of Zhuhai. But the train is available in 17:00. If you can not reach in time, take A11 airport bus to Gang'ao port (Shanghuan Station of the bus route). The last ferry to Zhuhai Jiuzhou Port is 21:30. Or you can take boat to Macau there and then transfer a bus through Gongbei Pass. No visa is needed between Hong Kong and Macau. The Gongbei Pass to Zhuhai is closes at 0:00 in midnight.

The other way is to go by bus. Take Hong Kong airport bus to Shenzhen Airport and then change another airport bus to Shenzhen Airport's terminal building in Jiuzhou of Zhuhai. Or get to Shenzhen city proper and find buses to Zhuhai at bus stations. Good Luck!