I would like to take train from guangzhou to hong kong. How do I clear the customs and immigration.

No, you don’t need to get down the train halfway in the journey.
There is special Ticket check point for Guangzhou – HK trains on the fourth floor in guangzhou east railway station, you just need to go there 45 minutes before, and make the exit formalities. When you arrive in Hung Hom, there in the railway station you will make the entry formalities.