Hi!

SZ to GZ by car, usually 2 hours, though traffic can be shocking and can take 3 or 4... The train takes about an hour, there are two stations in GZ, check where you want to get.

SZ to HK, depending on where you are in the HK territory and where you want to get to in SZ since it's so large.
From HK airport to Shenzhenwan (=Shenzhen bay bridge) by car is about one hour. We normally use a "limo" service, 150 HK dollars, have passport, paperwork and obvisouly your visa ready.
From Kowloon Tong station to Shenzhenwan by bus (40 HK dollars) about an hour and a half.
There's a fery service (Star Ferry) to various points in HK such as IFC Mall, but I never do it since I live near Shenzhenwan (Nanshan District).
You can do the HK MTR and then the KCR through the New Territories to Luohu, an entry point into SZ. Dead easy, drops you in the middle of Shenzhen (Luohu district) but then it can take an hour to get to where you want to go again.
Everything takes a good hour to get to here!
Most expats are concentrated in Shekou or Nanshan.
Hope this helps, I don't see what you mean about the town on the way to HK/SZ. Sorry