you can simply walk over the boarder crossing at Luohu near Shenzhen train station. Its the final stop of subway line #1 in Shenzhen.
On the other side of the boarder you take the light railway to Hongkong downtown.
Its very easy.
Look out where foreigners have to get their passport checked. There are no long queues at these desks.
Hiring a cross-border van (from Transisland) will cost you quite a bit more money vs taking the train. In addition to Lo Wu, you can also cross the border at Lok Ma Chau. Once you go through the formalities and enter China, they both connect to Shenzhen's subway and taxi stands.
Queues for passport holders can be long.
This topic as discussed many times. Did you try the search function?
From where in Shenzhen to where in HK? There are a couple of borders and the best way depends on you personal situation.
To hire a van for 5 people is a very convenient option for sure. There are plenty companies available. I also can give some hints, but I do not want to post any recommendation here as I do not want to do advertisement.
Besides a private van, there are other options:
-cross border busses (from various places to various stations in HK and from the borders Huanggang and Shekou/Shenzhen Wan)
-ferry (from Shekou to HK Central)
-MTR (via Luohu or Futian - may require a couple of train changes)
-taxi to the border and again after the border (5 will not fit in one taxi)
-combinations of the above options.
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