Good day! Mr. Wasantha.
Wow, there are many ways to Shenzhen from Hongkong airport. The fastest and easiest way is to take the shuttle bus to Huanggang Pass in Shenzhen. You only need to pay about about HK$110. The entire journey will take 1-1.5 hours.

It is also a piece of cake taking train from Shenzhen to Dongguan. Train departs almost every 10 minutes. You only spend half an hour on the train and RMB75-85 may be needed.

When you travel to Shanghai next, you had better go to Guangzhou first. Either train or bus is OK. From Guangzhou to Shanghai, train takes nearly 20 hours. You can also choose the flight. Here is the train schedule:
Train Code Time
K528 08:08/04:10
T170 14:00/08:56
T100B 18:11/10:00

From Shanghai to Beijing, there are a lot of flights everyday. And there are ten trains. Here is the details:

Code Time Depart/ Arrival
Z22 19:43/07:14 Shanghai/ Beijing
D314 21:41/07:40 Shanghai/ Beijing
D306 21:26/07:30 Shanghai/ Beijing
D302 21:31/07:35 Shanghai/ Beijing
D32 10:50/20:32 Shanghai/ Beijing South
T110 22:04/11:23 Shanghai/ Beijing
1462 11:24/13:12 Shanghai/ Beijing
T104 21:58/11:17 Shanghai/ Beijing
T283 18:58/11:24 Shanghai South/ Beijing West
T282 18:58/11:24 Shanghai South/ Beijing West

At last, it is best to fly back to Hongkong from Beijing. There are also many flights to Hongkong everyday.