Baggage Question for International Flights via Ferry

Hi. I'm arriving next month with Air France to HKIA from Paris. I'd like to then take the ferry to Shekou but have been told that with cargo baggage, it's tricky to do, as once you leave the terminal to collect your bags you can't enter back in to HKIA to be on the 'right side' to get the ferry.

Does anyone have any experience of what to do with baggage? Do I need to request or do anything when I originally check in at Paris?

Thanks, L