From HKIA to Shekou Port by Ferry

I want to know while taking Ferry to Shenzhen Shekou port where I am going to go for China Immigration? Does it will take place at Shekou Port ? As I understand, I will not get my lugguage also at HKIA and it will in ferry if I take ferry pass and show my lugguage tag. Where in the Shekou Port I am going to get my Lugguage?