You can take airport bus to Shenzhen directly. You can also take airport express, then transfer to the MTR and KTM, and reach Lo Wu of Shenzhen.
Basically, the first way saves you the trouble of transfering around, and is cheaper. But depending on the traffic condition, it could take you some time. The second way could be comfortable, as you go by train, but is way more expensive.
Lastly, even buses and train transfers, there can be many different ways... Depending on your own choice lah.
