How to go to Hongkong with subway from BAO'AN airport? And how much will it cost?

From the airport, take the shuttle bus M416 (CNY2) to Hourui Station to take the Luobao Line to Luohu Station (CNY8, 60 mins).

Passing the immigration, you will reach HK. Then take the East Rail Line from Lo Wu Station to Hung Hom Station, where you can transfer to West Rail Line to East Tsim Sha Tsui Station. Then walk about 10 mins, you will reach the Tsim Sha Tsui Station. The fare is HKD39.3 and the duration is about 55 mins.

Subway is feasible for the route, but direct cross-border coach saves many troubles, because no transfer is needed. Direct coaches from the airport to HK Harbour City, Tsim Sha Tsui are frequently scheduled. It takes 1.5-2 hours and the fare is 130HKD.
P.S. you need to get off and go through the immigration at SZ Bay.