Tai Po Market to Guangzhou, then Guangzhou to Hong Kong (Hung Hom)

We will need to take the train from Tai Po Market to Guangzhou, and later, from Guangzhou directly to Hung Hom/Kowloon. A few details:

-we understand that the return portion (Guangzhou to Hung Hom) can be purchased as a single fare for the "through train". We would like to book this in advance from Canada, due to the busy Canton Fair season. However, your website says we cannot pick up tickets at railway stations--is that correct? do we indeed need to have tickets delivered to a physical address in that area?
-for the beginning portion (Tai Po to Guangzhou), can we book this all as 1 fare, or do we hop on the MTR to Lo Wu, and buy a separate fare from Lowu/Shenzhen to Guangzhou? Can this portion also be booked in advance? (again, we're coming from Canada, and arrive in HK April 22--we will spend 1 night in Tai Po before heading up to Guangzhou)