Travel from Hong Kong Station to Nanshan (via Sky Pier and Shekou?)

I need to get from the Hillier Commercial Building (this is near the HK Station and Central Station) to the Nanshan District in Shenzhen, so I think my best bet is to arrive either at Shekou or Shenzhen Wan Port. When I normally take the Shekou Ferry, I transfer to the Ferry directly on arrival to HK Airport. Can I board the Ferry as well arriving from HK, outside of the airport?
Or is there a better way yet to travel to Nanshan from near the HK Station?