Flight with Singapore Airlines (SQ) from HKIA to Shenzhen

I will be transferring from HKIA to Shenzhen via ferry and via versa.

I noticed that SQ does not have Baggage Tagged Through Service from HKIA and also from Shekou Ferry Terminal.

Kindly advise what should I do upon arrival at HKIA and also returned from Shenzhen to HKIA.

Thank you!

Regards,
Suzy Ng