It is very easy! You could use the East Rail train to reach Shenzhen easily. Firstly, please go to the HK MTR Station of the East Tsim Sha Tsui, where you could take the train to reach the Luohu Port between Shenzhen and Hong Kong. The journey is about one hour and costs 36.5HK$. There is no need to do any reservation in advance. You could purhase the train ticket on the spot. Walk through the Luohu Port, you will enter into Shenzhen. It is the frequently used method for traveling between Hong Kong and Shenzhen. Very safe~