I recently was in Shenzhen and needed to to to HK for the day on business. I took the train. It is really a commuter train, often no place to sit and stops at every little town and suburb.

I had planned to take the train to the HK airport the next day for my flight back to the US. After the previous day's experience, however, I chose the ferry from Shekou. It is MUCH faster, only 30 minutes. Your baggage is checked for you. When you arrive at the airport, you claim your baggage and then check in for your flight and check your bags right there at the ferry terminal. Then a shuttle bus takes you to your terminal. Absolutely wonderful! FORGET THE TRAIN!!