i commute daily(live in shenzen and work in HK) and the major problem is there is only one 24 hour crossing and that is at LokMaJau(WongKong)
the Lowu crossing closes at midnoight and reopens at 6 or 7 in the morning
so if it was me and i had a choice depending on your working hours (i work shifts) then i would choose Futian district on the shenzen side and Yun Long to live on the HK side
to cross from shenzen to Yun long is very cheap and convenient $8 by minibus late night early hours of the morning
if you work office regular type hours the live in sheung shui and work anywhere along the shenzen subway line out from Lowu would be fine the connection is seamless basically across the border
avoid anywhere you need to connect by taxi or public bus in shenzen only because of the traffic jams and also using taxis all the time just gets expensive