There is a regulation about foreigners going to Pearl River Delta from Hong Kong:
Citizens holding passports issued by the nations with diplomatic relations with China is exempted from applying for a visa if he or she joins tourist group at Hong Kong and Macao organized by registered travel agencies in Hong Kong and Macao to visit the Pearl River Delta region (Guangzhou, Shenzhen, Zhuhai, Foshan, Dongguan, Zhongshan, Zhaoqing, Huzhou Municipalities) for tourism and stay up to 6 days.

The best way from HKIA to Shenzhen is taking direct ferry or direct bus. It costs around HKD160-170 to take ferry from HKIA to Shenzhen.

Shenzhen Convention and Exhibition Center is beside Huizhan Zhongxin Subway Station, in this area are Sheraton Shenzhen Futian, Futian Shangri-la Shenzhen, Golden Central Hotel Shenzhen, Grand View Hotel and Ritz Carlton Hotel Shenzhen.