It depends on each period of your trip, for instance, in Hong Kong you can contact a Rehabus to travel, but in the other cities, you might need to hail a van or take taxi. From Hong Kong to Shenzhen, I think a more direct way is taking ferry, since you might to do a lot of checking at the boarder which is usually crowded. Guangzhou to Panyu there is Subway Line 3, you can take it. And among the cities, Guangzhou and Panyu are not accessable by ferry and the other 3 cities all can be reached by ferry. Finally, I think it is better of you to consider booking some China Tour Packages(https://www.travelchinaguide.com/package/)