? After immigration & taking the baggages at the hk airport, while coming out at the entry (after walking out immediately with in 100 steps after collecting the checkin baggage) you will notice counters wherin you can check for buses/limo service to huanggang port on shenzhen (costs hkd 100/130 by bus & hkd 150 by limo)they will direct you to the area where you should go for the bus or the limo.
in limo you will sit in the big car & only until u reach huanggang customs in china. if you sit in the bus, you have to get down at the exit point of hk border & again enter the same bus after formal immigration is finished.

if you are ready to spend more money then you can take a ship direct from hk airport to Sheku or Fuyong ports in Shenzhen. This would cost another hkd150 more for each ticket (compared to the limo) in this case, if you take a ferry with 2.5 hours gap between arrival time at hk airport & dep time in frry from hk airport, you could get the luggage directly transferred from the aeroplane to the ferry at the ferry counter in the hk airport. It is easy to locate the ferry counter after getting down from the aeroplane (just keep looking at the sign boards, directions & you will notice the ferry ticketing counters). So you will collect the luggage up-on reaching the Shenzhen side by ferry. So there will be no immigration procedures in Hong Kong airport as you will not enter Hong Kong at all.

After alighting at Huanggang (by bus or limo0 or Sheku or Fuyong (by ferry)& after finishing the immigration formalities, you can take the taxi for your final destination. if you have some known people at Shenzhen it is better as language will be a big problem.