Travel from Shenzen airport to Shenzen railway station, and Shenzen railway station to Hongkong.

1. Bus 330 can take you from the airport to Shenzhen Railway Station and the cost is 20 RMB.
2. Shenzhen Railway Station is in luohu District, which is close to Luohu Port. So you just need to walk to Luohu Port and clear customs. Then you can take the East Rail Line to Hung Hom in Hong Kong directly. Going through the port, it is free, but you need to pay if you take the MTR East Rail Line.

You can also take Metro subway to Luohu which is less than RMB10. For bus #330 the fare is still RMB20 but at the airport, it is written RMB30.
Wan

From Shenzhen (Luohu) to Hong Kong (Lo Wu) is free, just within a walking distance. Lo Wu is one of the two train terminals that connect to Shenzhen. If you use Octopus card, the cost from Lo Wu to Hung Hom is about HKD34.
Wan