Getting a ferry from Hong Kong airport to Shekou Shenzhen

I need to get for the journey and I know its a ferry trip, however do I purchase a ferry ticket upon arrival at HK airport if so that's fine? If that's the case though then do I go and collect my luggage then go get the ferry ticket and take my luggage on the ferry with me? I have read it goes straight through from plane to ferry, but how would that be the case if I am NOT purchasing the ticket until I arrive in Hong Kong baggage claim would not be aware or the connection? Very confused please elaborate?