What would you recommend to travel to HK from SZ - by ferry, train or subway?

From HK to SZ, the best way is the subway. You can take the East Rail Line from Hung Hom to reach Lu Wu and the pass the Luohu Port which is at the border of SZ and HK. After you pass the port, you can reach SZ.
From HK to Macau, it is better to take ferry from China Ferry Terminal to reach. To reach SZ, you can take the ferry from Macau Outer Harbour Ferry Terminal or Taipa Temporary Ferry Terminal.
It will be very convenient.