Train is much cheap. You can take Z27 from Shanghai south railway station to Wuchang of Wuhan. It will take 9.5 hours and cost 260 rmb for hard sleeper and 400rmb for soft sleeper. Wuchang to Shenzhen need 12 hours and the ticket price is 270rmb for hard sleeper and 410rmb for soft sleeper. By far, the lowest airport ticket from Shanghai to Wuhan will cost 620rmb and Wuhan to Shenzhen is nearly 700rmb. If you do not hurry, suggest you choose trains. There is a lot of problems to notice and extra charge needed from the airport to the city center. It depends.