I think you could take the long-distance bus from Shenzhen to Zhuhai directly, which takes about 3 hours on the way. You could take it easy that the bus could take all of your luaggges. The bus could be found at Shenzhen Luohu Bus Station (at Shenzhen Railway Station), leaving from 07:20 to 20:50 every 40 minutes. The fare is CNY95/person. Its terminal is the Qiguan Bus Station of Zhuhai, just at he Gongbei Port.