Guangzhou -> Hong Kong

Unfortunately, this is not possible. There is no any single exit port that offers train scheme. There was an option (exit) by taking a conventional train, but this option is now discontinued since the high speed trains have made conventional train connections useless. Unfortunately, high speed trains are not eligible for any visa free transit exit. So, it is correct what you are reading, but there are no trains in physical terms that would make an exit train scheme an eligible one.

Basically, you are left with two options for your exit... You can take a direct, nonstop flight from Guangzhou to Hong Kong or a ferry. The most practical ferries are those from Nansha port south from Guangzhou or Shekou port in Shenzhen. both provided by CKS - Chu Kong Passenger Transport.

Please, have in mind that you will have to buy your ferry ticket before your departure from Thailand, print it out and have it with you. Also, you will have to take exactly that ferry that you have bought your ticket for.