Yes, living near the high speed train is the fastest option. I would suggest living near the North Station because it's much cheaper than downtown Futian.
I don't think it's gonna be worth it though. Tickets are 150 RMB for the return trip per day.
The area around the North Station is not exactly nice (it's closer to a Tier 2 city), unless you live in one of the upscale developments like Hidden Valley or St. Moritz, but those aren't necessarily cheaper than HK, though the apartments are much larger.
If you don't have a residence permit for China you won't be able to use the e-gates at the border, which means you'll have to queue up twice daily, fill in the yellow paper and get your passport stamped. If you don't have a residence permit you are legally required to register with the local police station after every entry into China, i.e. every day in your case. The local police station might not care much if you don't that, but there is a real risk of getting picked up during a police check and fined, especially if you regularly hang out at bars frequented by lots of foreigners.
Doing anything online is gonna suck, no Google, no Netflix, no Youtube.
Food is more expensive than HK, especially imported products.
Dealing with Chinese landlords is a pain in the ass, more so than in HK.
Healthcare sucks, although you could use the HK system unless it's an emergency.
On the plus side: Bigger apartments, more space in general, upscale restaurants are cheaper than in HK