Luxembourg-Shenzhen, via Hong Kong, Do I need a visa to enter Hong Kong?

Dear all,

I am planning to attend a wedding in Shenzhen but would like to fly from Luxembourg to HK and then take the bus/train from Hong Kong to Shenzhen as the flight connection is a little cheaper.
Holding a Luxembourg Passport:
Do I need a visa to enter Hong Kong?
Is it difficult to go from Hong Kong to Shenzhen, is there anything that I need specifically apart from the Chinese 1 entry visa?

Thank you very much.