Do I need to collect my luaggage at HKAI and clear customs. then re-check them again at the Skypier?

No, you don't need to claim customs and recheck your luggage.
You can just walk to the Arrival Level, T1 to buy ferry ticket and present luggage tag receipt at the Ferry Ticketing Counter at Transit Area E2. Then go to Skypier to scan your ferry ticket and check your luggage status at the boarding entrance. The board the ferry to head for Shenzhen.