Getting from Hong Kong to Shenzhen Airport is quite easy:
Shun Tak - China Travel Ship Management operates the Turbo Jet - quick ferry service to provide a direct quick-ferry-link between Hong Kong International Airport and Shenzhen Airport (for transit passengers)
Right now, the ferry from HKIA (Sky Pier) to Shenzhen Airport departs once a day at 19:10.
The ferry from Shenzhen Airport to HKIA leaves from Fuyong ferry terminal (a few kilometres from Shenzhen Airport) at 18:00
Ticket cost is HK$ 200 one way (at the time of writing), inclusive of taxes
The Ferries from Macau to Shenzhen Airport leave at 11:30, 12:45, 15:30, 16:15 and 19:30, and the journey takes about 1 hour
For more information, see Turbo jet website.
Buses seem to be an even better option nowadays:
Chinalink Bus Company provides the fastest road link from Hong Kong to Shenzhen Airport. Their buses travel via the newly opened Hong Kong - Shenzhen Western Corridor (This is the first border-crossing point with immigration facilities of both Hong Kong and Mainland China co-located at the same building, which means that border-crossing procedures are much faster) and the whole journey takes something like 1 hour and 15 minutes. Moreover, there is a Shenzhen-airport check-in facility right at the bus terminus, which means you can be done with your check-in before leaving...
Chinalink's buses depart daily from the Elements Shopping Mall (just above MTR-Kowloon Station and the Kowloon Airport Express station), from 7:15 am to 7:15 pm (once every thirty minutes) and a one way ticket costs around HK$ 100
Their ticketing office is on the mall's 1st floor
Getting to Elements Mall is simple: There is a free shuttle from Peking Road (next to the Duty Free) in Tsim sha Tsui (departing every 20 minutes, from 12:30 to 9:30 pm) or you can take the MTR (Kowloon Station, on the Orange marked Tung Chung Line) or the Airport Express (from Central), or bus No. 8 from Tsim sha Tsui's Star Ferry pier.
Buses depart from Shenzhen Airport every 30 minutes, from 9:30 am - 9 pm (tickets can be purchased at the airport's arrivals hall - watch out for salespeople who tout other "direct buses" as those are normally traveling via Huanggang and the journey takes much longer...)
For more information, you can call Chinalink Bus Company on (852) 2230 3030
Another bus company which operates bus-lines from Hong Kong to Shenzhen Airport is Trans Island Chinalink. Their buses leave from Kowloon Tong and Prince Edward (in Kowloon), as well as from Wanchai (on Hong Kong Island) and travel through either the Hong Kong - Shenzhen Western Corridor (faster option) or the Huanggang border-cross (much slower).
Generally speaking, they are much slower than Chinalink and the only reason you might want to consider traveling with them is because they depart from locations which may be more convenient for you... Their prices are similar to those of Chinalink.
For more information, you can call them on (852) 3193 9333 / 2262-3232 or visit the relevant page at their website
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You may also want to read about...
Low budget airlines
Flying via Shenzhen International Airport
Hong Kong Border Checkpoints
