From Shenzhen North Railway Station to Hongkong.

You can take the MTR, and you are right, you need to go to the Luo Hu first to go through the immigration.

Or just in the North Railway Station, there are direct buses to HK, you can take one. If you want to go to the Sheung Wan or Central area, the bus fare is about CNY90. If your destination is Mong Kok, Tsim Sha Tsui or Kowloon area, the fare is about CNY80. To the airport, CNY180. To the Ocean Park, Disneyland or Ngong Ping 360, it is CNY130.