The ferry is probably the easiest.
I did the other two options, too:
Train: We took the airport bus from Shenzhen airport to the main station, which is in front of the border. The border building is huge and very crowded. Then from there I took the train to HK
. It's fine, but crowded and a little difficult with bags. Huge lines, but we had German passport so we got a quicker one... In total count at least 2 hours to get to HK
, more if you want to continue to HK
island or something.
back we took the bus option. There was a company promoting cheap fares on busses to Shenzhen airport, directly from HK
island. Well, the bus was not direct.
We got tickets, a colored sticker and all people boarded a single bus, no matter if destination was Shenzhen town, Shenzhen airport, Guangzhou or whatever. We were brought to the border and had to take our bags and go through HK
customs. Then we boarded the bus again and drove a few meters to the Chinese border. Again took our bags, passed chinese border, and then ... well then the bus was not there. But there were dozens of other busses..... It was completely confusing. But bus company staff took good care of us and recognized us due to the sticker we had. They gave us bottles of water and told us to wait. No English... We waited more than 30 minutes and then they told us to follow a guy with a big green sign. We had to walk a huge way to the bus parking on the other side of the multi-lane road with all our bags and finally boarded a small bus which brought us to the airport. Price was ok, but it was promoted as an express service, presumbably direct, and in the end we had to leave the bus 3 times, take all our bags, walk a lot, and it took a lot of time.....
If you're not that money conscious take the ferry....