Many people have queried this method of getting to Shenzhen but few have reported their personal experience so I hope this may help some :).
Having said that, it was on Wed 6th, New Years Eve so it was not an average trip crowd wise. Anyhow, the ferry counter is easy to get to; just follow the signs. They tell you to allow 1 hour before the ferry you wish to catch. I landed at 1715 and they booked me onto the 1630 3A110 ferry to Shekou. Cost HK$210. They take your checked baggage receipt and print out another of their own which they give you as a new reciept. They will locate your baggage from the carousel and pass it through customs and put it on board the ferry. Because you never actually 'enter' HK, you are still in the International part of the airport and are still basically in transit. They give you a small direction map that leads you to a waiting area downstairs to wait for a bus to take you to the Skypier. I didnt hear any PA announcement but kept my eyes on the various gates to see when they were boarding buses to Skypier. At 1800 they allowed boarding (gate 10 this time). The bus takes you around the outside of the Expo building. Skypier was very basic, sad to think it handles international passengers too.
It is only a 30 min crossing. When you disembark, stay with the ferry until they unload the baggage then staff ID your baggage check with your case. Then follow the signs to immigration. The ferry can handle hundreds but there were only 12 of us (yes only 12 !!!)so it was easy and very quick. I was so happy and pleased at how simple it all was but if there were hundreds then it would take longer. It was worth the extra cost for a huge tiome saving for me because I was staying in the Nanshan District just a few minutes from Shekou. OK for the airport too. If you needed to get to Louhu then the story may be different.
Hope this helps and please contact me for any other details :)