We will be at COnrad Hotel in Hong Kong and need to get to Nanshan, Shenzhen, what subway/train ?

If you want to go to SZ, you are suggested to take a ferry from HK- Macau Ferry Terminal to SZ Shekou. The Shekou Port is right in Nanshan area.
If you prefer subway, you can take the Tsuen Wan line from Admiralty Station to Yao Ma Tei to transfer to Kwun Tong Line. Get off at Kowloon Tong Station, where you can transfer to East Rail Line to Lo Wu Station. Pass the border, you will get to SZ. Then take the Luobao Line, you can reach the Nanshan area.