my flight is jet airways, so i will get the baggage tag or i have to take my own baggage to airport?

So you wanna travel from Shenzhen to HKIA by ferry? Well, your airline can use this ferry route. However, the pre-checkin service is unavailable, so you won't have a baggage tag for the onward flight. You can just consign your luggage and take along the hand luggage on ferry. After arriving the airport, you have to check in the baggage again on your own.