I am flying from hongkong International Airport 8:40 Am

You can choose the first ferry at 7:15 to Hongkong but it is always sold out unless you book the ticket in advance. So you better be in Hongkong a day early. It has official website cmskchp.

I live in Shekou for 10 years already. You cannot take a ferry that doesn't land you at least 2 hours before your flight. So if you take the 07:15 ferry, your flight must fly at 09:45 or later (if your flight is at 09:40 they won't sell you a ticket). I learned this lesson the hard way.

You can either go to HKG the night before but that is cost-prohibitive and inconvenient in many cases. The Shenzhen Wan Port opens at 06:30. It takes between 50-75 minutes (in total time from ticket purchase to arrival at airport) depending on time of day. You will make it if you are the first person there and your shuttle car gets filled quickly. Otherwise, cross the border on foot and take a taxi from the other side.

If you are closer to Futian take the 24hour Huanggang border. It takes 35 minutes (after you cross the border) to get to the airport