Travel from Guangzhou to Hongkong

I am travelling to China in October end and planning to cover lot of places. I have few questions regarding the same.

1. Are there any overnight trains available from Taizhou to Guangzhou? or I will have to take flight? I don't like flights as they are expensive, waste lot of time at airports. Whereas overnight trains are cheaper and saves hotels as well.

2. I am planning to travel from Guangzhou to Hong Kong by train. As I am going out of China, so where will the immigration take place? Immigration at train stations is not a problem?

3. As I understand (correct me please) I will have to take a train from Guangzhou to Shenzhen and take another train from Shenzhen to Hong Kong or are there any direct trains from Guangzhou to Shenzhen?

4. Also is the Visa on arrival facility available when I reach Hong Kong by train from Guangzhou?

I know that, Visa on Arrival for Indian is available at Hong Kong International Airport.