yes you have to change the line of the trains,
1-take a mrt Airport line to Tsing yi,
2-From tsngyi take a MRT line Tungchung to laking,
3-From Laking take Kwuntung lines to prince edward,
4-from prince edward take a tsuemwan line to Kowloon,
5- from kowloon take a mrt to shenzhen.
have a nice trip

Hi Derek, I think the better way to shorten all those hassle into here and there, maybe you can try this ;
1) Take an airport express train to Kowloon station- after exit go up 2nd floor to take a free shuttle bus to HungHom station.
2) From HungHom station take KCR to LoWu where the border between HK and Shenzhen.
Hope that will save you time thinking and changing MTR, good luck with you trip.