I arrive at HongKong International Airport and my hotel is in Shenzhen (Metro 1: Ganxia).

Ferry should be the best way. You can take it directly at Skypier without going through the immigration at HKIA.

Take the ferry to Shekou Cruise Center. Take the free shuttle bus to former Shekou Port. Walk to Shekou Pork subway station to take line 2 to Window of the World, where you can transfer to line 1 to Gangxia.