I am going to beijing. I will be coming from Shekou ferry terminal.

As I know, Shenzhen North Station provides 4 bullet trains to Beijing at 19:40, 19:45, 19:50 and 19:55. It takes about 11h 20 minutes and CNY999 for a sleeper.
Shenzhen station provides 2 trains at 10:31 and 14:50, which take about 22h-30h, cost CNY434.5 for a hard sleeper, CNY687.5 for a soft.
Futian Station provides 2 at 7:00 and 11:20, which take about 10h 30 minutes – 11h 20minutes and cost CNY944.5 for a second class seat, CNY1,488 for a first one.

In my opinion, you can take a flight to Beijing, and it takes about 3h. BTW, take Bus K105 to Guimiao Lukou and then catch metro line 11 to the airport.