What is the best train to take from Hong Kong to the Lok Man Chow/Futitan Port Border?

We are trying to obtain a visa to get into China. We are staying at the Sheraton in HK and then take a train into Shenzhen where we will meet our son. The visa requires that we show proof of a ticket going into SZ and I don't know where or how to purchase that ticket, Can you help? Thank you