How can we get ferry to Shenzhen from disneyland? is it better by ferry or by MTR? how is the fare?

It is no need to take the ferry to reach SZ from Disneyland. From Disney, you can find the direct bus to reach Shenzhen Bay Port. Pass the port, you can reach the SZ. Then you can take the local subway to anywhere you can want to go.
The direct bus fare is around 90RMB.

Thank you Bob. How is the direction to the bus stop? Is there any information about the bus name or bus code no.?

Actually, the coaches can only take you to travel from Shenzhen Bay to Disneyland, so they are not suitable for your journey.

In my opinion, either MTR or ferry can be good way. It depends on where you are going in Shenzhen. Anyway, by ferry:
From Disney, you can take Disney Resort Line to Sunny Bay Station, where transfer to Tung Chung Line to HK Station/Central. Then transfer to take Island Line to Sheung Wan Station, near which you can find HK-Macau Ferry Terminal. There you can find the ferries to Shenzhen Shekou Port and it only takes around an hour to reach.