We would like to visit Shenzhen; what is the best way to go? from Guangzhou or Hong Kong?

From Guangzhou, the best method is to take bullet trains from GZ East Railway Station or South Railway Station.
From HK, you can find the cross-border buses to reach SZ directly. The buses can usually be found at Sha Tin New Town Plaza, Mong Kok, Wanchai and Tsim Sha Tsui areas.
Hope you can find the buses and the bullet trains.