I want to go from Hong Kong to Shenzhen Airport.

MTR is an option, but it is not the best way, because it requires several transfers. The direct cross-border coaches are highly recommended. Many buses are scheduled and there are many boarding sites in HK, such as HK-Macao Ferry Terminal, Causeway Bay, Langham Place Mong Kok and Shatin New Town Plaza. It takes around 90min and the bus fare is 130HKD per person.

Thank you Lily.
We arrive in HK at about 6:00pm so we will look to stay at a hotel near one of the boarding sites for the cross-border coaches and then go to SZ the next morning to catch our flight. I assume that 90 mins is the best travel time and is dependent on getting though the Lo Wu border reasonably quickly - probably better to allow 2 1/2 hrs to cater for delays at Lo Wu.