I am arriving in HKIA from France and want to take the ferry to Shenzhen airport upon arrival.

There is no need to do something special at Paris. Upon landing at HKIA, walk to Arrival Level, T1 and buy the ferry ticket on the spot at the Ferry Ticket Counter at Transit Area E2. There you also need to show your luggage tag receipt and they will help you handle the luggage. Then take free shuttle bus to Skipier to check the status of your luggage and board the ferry to Bao'an Airport.