I am going to shantou. Will be arriving at Shenzhen airport. Which train station should I go and how

Well, there is no train that operated between these two places. You need to take long-distance bus to get to Shantou.
From the airport, you need to take airport shuttle bus and arrive at Airport East Metro Station. Then take subway Luobao Line to Zhuzilin Station, Exit A. After that, walk south around 440 yards and find Futian Bus Station.
There are several long-distance buses that can take you to Shantou. The schedules are 07:40, 09:00, 10:30, 11:30, 13:30, 16:50, 15:00 and 17:35 with the ticket fare of CNY 120 per adult.