What are the options to get from T2, HKIA to Regal Kowloon hotel?

You can take Bus A21 to Granville Road, Chatham Rd South, and then walk southeast for about 5 minutes to your hotel. It takes about 70 minutes and over 33HKD by the way.

As for the visa, I think you need to get one for the trip to Shenzhen. BTW, I happen to know the office to get the visa: the 3rd floor of Resources Building, 26 Harbour Rd, Wan Chai District.