Using Shekou if visiting HK

I would like to take a ferry from Shenzhen Shekou to HK airport (and go through immigration) and visit HK for 3 or 4 days before flying home from HK international airport.

But from what I can gather by reading, I can only use Shekou if I am flying from the airport on the same day, I can't use the ferry if I'm passing through immigration and into Hong Kong.. Is that correct? If so, do you have any advice to help me, ie taxi, a ferry from another port etc.