How does checked luggage from my arriving flight get transferred to the ferry in HKIA?

We will be arriving on a flight into HKIA and want to use the ferry to Shenzhen. We will have checked baggage to claim. I thought the main idea of using the ferry out of HKIA is that you do not clear immigration in HK, but you remain in transit and take the ferry out of the HKIA port. If I don't clear immigration, then how does my checked luggage, which will obviously be delivered to the baggage carousel just past HK immigration, get delivered to the ferry? Do I need to do just carry-on luggage or am I able to check luggage?