Hi,there
MTR is more suggested.
From Lo Wu station of Shenzhen, you cross the border and then take East Rail Line from Lo Wu Station to East Tsim Sha Tsui Station. Get from East TST Station to TST Station and then take Tsuen Wan Line from TST Station to Admiralty Station. After that, take special bus route 629 to Ocean Park.
The most conveinet way to get from Shenzhen to Hong Kong Disneyland is to take cross-boundary bus at Huanggang Port. But since you are asking about starting from Lo Wu Station, the direction will be, East Rail Line from Lo Wu to Kowloon Tong, Kwun Tong Line from Kowloon Tong to Prince Edward, Tsuen Wan Line from Prince Edward to Lai King, Tung Chung Line from Lai King to Sunny Bay, at last Disney Resort Line from Sunny Bay to Disneyland. That sounds troublesome, but a map will show you clearly.
Good Luck!