you can take metro from WOW to louhu , then from louwu port take a metro to hongkong.

I would take the Metro from the Window of the World station to one of the stations that connect with the trains into Hong Kong, Futian or LuoHu. The Metro in Shenzhen is clean and efficient. You will need to pass through customs at both of the stations and then get a ticket on the Hong Kong side for the train. Please note the name of the station is different on the Hong Kong side, and you may need Hong Kong Dollars for payment.

Enjoy your trip!