Martin, from Hong Kong airport take red taxi to Sheung Shui Station. You will have to purchase a train ticket, cost $20 HK dollars to Lo Wu(LouHu) border crossing. Taxi ride with tolls cost me $320 HK dollars.
After getting off short train ride, then you have two immigrration and customs to go through. HK and then Mainland Chian. After that you will walk into Mainland China, and will be at the Shenzhen Train station area, but there are taxies available....and then just do as Michale has suggested, take one to the Bus Station
just remember when comming back to HK airport, just do the reverse, but when you get off train at Sheng Shui Station, cross back over the oposite way that you get off the train, or other side of track, that is where the red taxi's are....if you do not cross back over, you will only see green taxi, and they cannot take you to the HK airport