I travel to GZ nearly every week because we have an office there. As many have mentioned the easiest but most expensive way is to take the direct through train from Hung Hom. But on the way back to HK I usually take the coach the one where you go through Shenzhen Bay. I get on the bus either from the Garden Hotel or China Hotel and 3 hours later I am in Mongkok or Wanchai. And the journey is only 100 RMB. Immigration is pretty fast at least faster than via Lo Wu. I have never taken it from HK to GZ but it should be pretty much the same.