what is the best transport from Shenzhen to Zhuhai ? Time schedule , cost & the location station?

You can go to Shenzhen Qiaoshe Coach Station, located at No. 1043 of Heping Road, where you can take the bus to ZH.

The bus fare is CNY100, and the travel time is about 3 hours.
From 07:00, 21:00, there are 37 buses available.

So don’t worry, you can easily take one bus upon your arrival.

I would recommend the ferry to you. Ferries from Shenzhen Shekou Port (no. 1, Shekou Bay 1st Road, Nanshan District)
to Jiuzhou Port (no. 599, South Qinglv Road) are scheduled from 07:30 to 20:30 and 21:30 (only on Fri. Sat. and Sun.) It takes an hour and the fare is CNY115 for an economy cabin.