arriving from Doha airport into Hong Kong airport, HOW to take ferry to Shekou? I have 1 entry only.

If you are going to take the ferry to Shenzhen, then you will not leave the restricted area in HK airport. In other words, you will not pass the immigration to enter HK. So there is no need to worry. Just follow the direction signs to find the Sky Pier and get onboard. Your one-entry will be used at Shekou upon arrival.

As for the luggage, please consult your airlines where to collect it. Some provide through luggage service while some don't.