Guangdong-train to Shenzhen train to Hong Kong in 6 day

Actually, you did not mention your country or territory you will come to Guangdong from and that is a very important information because that country or territory has to be different than both mainland China and Hong Kong, for example something like:

Japan - Guangzhou - Hong Kong

As far as the train is concerned, you cannot use it because older, conventional train that was eligible for this scheme is not running any more because it was made obsolete with the introduction of new high speed trains.

So, your option is to take a ferry. You will choose among several departure ports like Pazhou (located quite centrally in Guangzhou, next to Canton Fair Complex), Nansha (south from Guangzhou), Humen in Dongguan (ferries from this port go directly to HK airport Skypier, so you have to coordinate this detail with the airlines that will take you back to Taiwan) or even Shekou in Shenzhen. So, if you decide to take a ferry, you will have to buy your ferry ticket in advance through CKS - Chu Kong Passenger Transport Company website and print it out. You will have this printout with you, ready to present it when needed. Also, you will have to take exactly that ferry that you have bought your ticket for.

Thank you for your answer.
I will be flying from Seoul South Korea to Guangzhou and then taking the high speed train to Hong Kong. All within 6 days. I guess I need to purchase the train tickets in advance and have them printed out when I apply for my transit Visa when I arrive at Guangzhou airport?

Adam, as I have mentioned in my answer to your question, I have explained the ferry transport for a very good purpose because taking a train is not eligible way how you can exit Guangdong province toward Hong Kong. Old, conventional through train that was eligible had been discontinued in favor of high speed ones and high speed trains are not eligible for this scheme because they have different route as well as they use different stations. So, count on taking a ferry and you will be perfectly fine.