Yes, there are ferries from Shenzhen Shekou Port to Hong Kong Airport directly. The first ferry will leave at 07:45, taking about 30 minutes to arrive at Hong Kong Airport.

You can take ferry at Shekou Port(https://www.travelchinaguide.com/cityguides/guangdong/shenzhen/shekou-port-ferry.htm) , there are ferries to HKIA directly. The earliest one is at 07:45.

I am travelling from Empire Hotel in Wan Chai to Marco Polo Hotel in Shenzen - what is the easiest way - thank you hotmail.com|pentland_stephen

You can take star ferry at Wan Chai Pier to Hung Hom, there you can go to Hung Hom MTR Station and take MTR to Lo Wu Station, after arriving, pass the customs to Shenzhen and then take Subway Line 1 from Luohu Station to Gouwu Gongyuan Station. The hotel is around 300 meters away from the Exit D of this station.