i do this all the time. they have buses from shenzhen airport that take you directly to multiple places in hong kong. if you are going to kowloon, you will probably want to take the bus either to mong kok or tsim sha tsui. it will cost approximately 100 rmb. this is just slightly more than the 85 hk that you would pay for the airport express from hk airport.
when you exit the baggage return area, walk straight. near the terminal exit, you will find several booths for buses and vehicles into hk or macau. tell them that you want the bus to hk, the specific destination, and they will handle the rest.
the bus will stop half way for the border crossing. you'll go through customs, and then on the other side, jump on another bus, this one to your specific destination. they will have given you a sticker in shenzhen airport, so the bus company will know that you are with them, and what your destination is. even if you cannot speak chinese at all, it should not be a problem.
once you get into hk, the bus will make several stops. if you are not familiar with hk, make sure to ask the driver to let you know when you get to the right stop, because i have never been able to understand one of his announcements over the loud speaker.
this method is the simplest/cheapest way of getting into hk. you only need to buy one ticket. as for the return trip, you should take one of the company's brochures which has the bus stations in hk marked on it. i always pick up the return bus from mong kok, but it's not so easy to find if you don't know where it is.