The fastest way going from Hong Kong airport to Shenzhen airport, over vice versa, will be taking the ferry.
If you arrive in Hong Kong International Airport, use the ferry service at the Airport’s Skypier. There is ferry from here to Shenzhen Fuyong pier, the journey time of which is 45 minutes. Once you arrive at the Shenzhen Fuyong pier, there is free shuttle bus going to the Shenzhen Baoan International Airport, taking about 10 minutes.
Below is the ferry schedule, departing from Hong Kong International Airport’s SkyPier at:
1130; 1245; 1415; 1540; 1645; 1830; 1950
Departing from Shenzhen Airport at:
0830; 0930; 1100; 1300; 1425; 1530; 1700; 1830
Ticket price is HK$295/RMB272 one way.
One minus point is that the ferry service is not very frequent, especially that it stops after 8pm on Hong Kong’s end, and after 6:30pm on Shenzhen’s end.