I'm arriving from HKIA and wish to go Oversas Chinese a Town, Nanshan Overzee in Shenzhen.

As the information that I checked, the She Kou Port is closer to your destination. When you arrive at the She Kou Port, you may take the metro line 2 to the Window of World Station and transfer metro line 1 to the Overseas Chinese Town Station, Exit B. Afterwards, you can find your destination easily.