Please advise best transport for travel from HKIA to Lohu Railway at 10pm at night.

Well, the best way could be the coaches to Lohu, Shenzhen. But the last two coaches departs at 23:00 and 23:30 respectively. Thus you'd better hurry up to catch the buses. It may cost 100 HK$ and take about 50 min.
The ticket office:Counter A09, Arrivals Hall / Counter C16, Coach Station for 23:00 bus.
Counter A08, Arrivals Hall / Counter C15, Coach Station for 23:30 bus.
The boarding location: Coach Station, Terminal 2.
Upon your arrival at Lohu, it is not far from Lohu Railway Station, so you can walk there.