Check in to the Ferry at Sky pier.

Actually, the regulations show that transfer passengers taking ferries to the Pearl River Delta (PRD) DO NOT have to go through immigration procedures or reclaim baggage at the airport. Just show your valid ferry ticket (if you have) and valid passport and, if applicable, a visa for intended destination, and you can get ferry ticket directly at the ferry check-in point. Meanwhile, you also need to present your baggage tag receipt.