Must i check out immigration to take ferry to Shenzhen Shekou?

I will arrive in hong kong airport at 2pm on 19 Oct with check in luggage and transit by ferry to shenzhen shekou. Must i check out immigration to collect my luggage? I will book the ferry ticket online. Where do i collect the ferry ticket? Kindly explain in details the procedure as i am quite confuse. Kindly reply soonest and appreciate for your attention.