Train from Shenzhen to Hong Kong

In August I will be staying in Shenzhen. I want to go to HK to meet a friend of mine. I have a 10 year Chinese Visa and can come and go as I please. My fiancee is a Chinese National. She has a HK/Macao pass that she can also come and go. We will be staying in a hotel in Luohu. Is it easiest to take the train? (Isn't the location to catch the train to HK in Luoho?) If not, what is the best and cheapest way to go to HK from Luoho Shenzhen and return the same evening?

Kindly Advise.

Thank you.

Robert