Answered by Mr.Dan from USA | Dec. 30, 2010 11:16
Anil,
There are three choices, depending on your budget and comfort level. The most expensive would be a "business bus" a small van with five to seven other travelers. The cost is still reasonable, and you do not have to take your luggage out and go through an immigration center. (Don't forget that you WILL need a Chinese Visa(https://www.travelchinaguide.com/embassy/visa.htm) to get into Shenzhen. One is not required for Hong Kong.)
Option two is to take the train from the airport to the LuoWu station, which is the Hong Kong side of the LuoHu station in Shenzhen. The airport express is 100 HKD ($13 USD) and then a ticket from Hong Kong to LuoWu on the regular train would be about 50 HKD. You will have to walk through customs and immigration, and the LuoHu station is right there. Taxis are inexpensive and will be on the right as you enter the plaza after leaving the station. If you are at the Shangri-La, look straight ahead and it is about 400 meters away, no need to take a taxi.
Option three is the one I had to take on my last trip. Not comfortable, but I got there. Take the airport express into Hong Kong, then the free shuttles to one of the other stations. There you can catch a bus to Shenzhen. Late at night, this is the only option you have! Cost for the bus is 180HKD ($24 USD) and it takes about 90 minutes. The catch is you have to get on and off the bus twice with all your luggage to go through customs-when leaving Hong Kong and when entering China. You also are then about five kilometers from the city, but there is a large taxi stand and the ride into LuoHu was less than 30 RMB ($5 USD). You will be offered rides right as you leave the customs area, but just ignore them. Prices are too high and they are unregulated.
Enjoy your trip!