From Hong Kong to Shenzhen and Guangzhou return back to Hong Kong

I plan for business trip to Shenzhen and Guangzhou on November 5 2013. Our flight from Kuala Lumpur to Hong Kong reach around 2050 hours What is the best way to reach Dongmen city Shenzhen on the same night?. We prefer to use train CRH or subway. After 1 night in Shenzhen i would continue travel to Guangzhou 3 night and return to Hong Kong for flight to Kuala Lumpur. Could you advice train no. or subway no., cost and time from station to the other station.