I'm landing in HK and will take a ferry to Shenzhen Shekou but have hold luggage.

Hi there. Actually, you don't need to go through the immigration if wanting to take the ferry. After landing, directly walk to the Ticket Window at the Transit Area. Buy the ticket and also show your luggage tag receipt. Then the staff will transfer your luggage to the ferry. As for you, just take the APM to the Skypier to board and check your luggage.

Have a good trip!