I want to take a train from Hong Kong Airport to Guangzhou to buy shoes and bag.

From the airport, you can take the bus A21 to Hong Hom railway station directly (HKD33, 75 mins), where you can take the train to GZ East Railway Station. The train travel time is about 2 hours.

For clothes and shoes, you are suggested to go to Baima Wholesale Market. Upon arrival at the east railway station, take the subway line 1 to Gongyuanqian Station, where you can transfer to line 2 to GZ Railway Station. Take the Exit G and walk about 200 yards, you will reach the market.

I'd recommend you take the direct bus from HKIA to GZ in 3.5-4h, in which way no transfer is needed. Then take a taxi to the clothing markets near local main railway station to buy these things.