what are the way to go Shenzhen from Hong Kong Int. Airport without entering HKG?

Without going through the immigration, the best way is to take a ferry bound for Shenzhen at Skypier. After landing, directly walk to the ferry ticket counter at the transit area. Buy a ticket while present your baggage tag receipt. Then the staff will help to handle your luggage. You can just take the APM to Skypier to catch the ferry and check your luggage.