Arr. HKIA 11 pm. Flight SZ-Airp next day 2 pm. Need info on luggage, transfer, when where ticket pur

As it is too late, I suggest you stay overnight near Kowloon area and take the cross-border buses to Shenzhen next day.

As for your case, you have to pick up your luggage and transfer according to the regular procedure. Then you can go to your hotel and then take the first bus at 09:00 to reach Shenzhen airport directly.
For the tickets, do you mean the ferry tickets? For your situation, the ferry is not allowed to take, so it is no use to buy that ticket.