Hong Kong International Airport offers many international connections at an affordable price, so it is not uncommon to see travelers arriving there and jumping to Shenzhen where many international corporations have offices or intentions to connect via Shenzhen International airport that offers many domestic flights to mainland China.
If you are using these ferries between the HKIA Airport and the China Mainland terminal you do not need a Hong Kong Visa, because you are never actually entering Hong Kong.
There are several ways to transit from Hong Kong International airport to Shenzhen, probably the most affordable (but at the same time the lengthiest one) is using the metro all the way from Hong Kong Airport. There are as well many buses to different points in Shenzhen. I personally have used all the previous options but the last time I decided to try the ferry and I can say it is by far the best option.
It is possible to catch one of the ferries directly from Hong Kong Airport. One goes from there to ferry port close to Shenzhen international airport. There is a second options, a ferry that goes to Shekou port. I choose the last one since there is a metro station very close by.
A very good thing is that one has not to go through immigration at Hong Kong. Once one arrives, it is just a matter of following the signs to the ticket office.
Once in the ticket office one buy the ticket, it is 200 Yuans, and then give to the agent the bag tag, they pick up the bag for you and deliver it at the arrival port in Shenzhen.
Half hour before the departure time one goes through a security check in and from there a train transport passengers to the departure port.
The ferries are normally very punctual and it only takes around half hour to reach Shenzhen. Once in the arrival port just follow signs to immigration. From this point everything happens just like in any other arrival points.
One shows the passport to the officer and form there one goes and pick up the bag, go through customs and them go and look for the bus or metro.
Everything is really straightforward. A good thing with Shekou port is that despite being a super modern and huge facility it is very quiet, so it is possible to do all the arrival requirements in just 15 minutes or less.