I have made the trip more than 10 times, although not in the last 6 months.

The best way to do the crossing in my experience in both direction is the new direct bus between Shz airport and Kowloon Station that use the new Western corridor. It cost 100rmb, takes usually 1h30 (including border passage), requires you to get off the bus only once, to pass the new (and empty) border crossing of the western corridor. It is super smooth and bring you to kowloon, where you can get to the airport or the rest of HK in no time. All other ways of crossing requires you to move your luggage more.

The bus company have a little stand in the arrival hall in Shenzhen and a check-in hall under the "elemental" shopping mall of kowloon station. Their logo is kind of pink with some kind of dragons but i can't remember their names.