My flight will arrive Shenzhen airport at 12.30pm.

If you are going to take a flight from HK Airport, you can take a ferry directly. Take the free shuttle bus to Fuyong Port, where you can take the ferry. The ferries you can take leaves at 15:30 and 18:30 and costs CNY295.

If you are not going to take a flight, then you can take a Shuttle bus to HK, which costs CNY130-180 per person.