When you arrive at the airport, please go to take the shuttle bus Line 1 (330) to its termial at the square of Shenzhen Railway Station. Once arrival, there are direcions guiding you the way to the Luohu Border, located in walking-distance. Go through Luohu Border, you could enter into HK and then take the KCR East Rail to downtown Hong Kong.
Please note that the Luohu Border will be close at 24:00