What is the easiest route from Shenzhen Airport 31May18 (& which border crossing) to HKG Disneyland?

You can take the direct cross-border coach at the airport to HK Disneyland. The schedules are 08:00 - 12:30 every 15-20min. It costs CNY150 per person. The bus will go through Shenzhen Bay border where all passengers must get off with all their luggage, pass the immigration, then board again.

Thank you Emily, that is very helpful. I have read that immigration can involve waiting in very long queues for coach crossings - is this one of those? Do you have an idea of the time it takes after departing Schenzhen airport to reach HK Disneyland?

That's true. You may have to wait for about an hour for your coach and it may take longer during holidays. Including the time, the duration from bao'an airport to the Disneyland is 3h or around.