Just board the KCR East Rail from Hong Kong at Tsim Tsa Tsui. It'll terminate at Lo Wu ( the border between HK and Shen Zhen). Get off the train, have your passport stamped at the terminus and walk by foot, pass by what used to be a stinky river, and enter China by the Luo Hu Customs.
If you plan to shop in Shen Zhen guerilla style (Quick and Savage Shopping!) get a copy of Ellen McNally's Shopping in Shenzhen in Hong Kong International Airport (USD15) and plan your shopping strategy. This little book will save your sanity and save you the need of posting your shopping questions in online forums and sifting out the crap from the good answers.
If you're in Hong Kong, short on time but keen to explore and spend your money, just pop over to China for a quick and dirty round of shopping.
1)Take the KCR East Rail line from Kowloon Tong to Lo Wu station,
2)Go through HK immigration and walk across to China via a bridge. Clear the immigration at the Chinese end.
3)Voila ! The first building that you'll see is Luo Hu Commercial City. This is China at its capitalist best, there are five floors contain zillions of tiny shops, selling everything under the sky. If they don't have it, you'll probably don't need it.
What to buy: Tailors - Lots of them over here. Good if you're really a cheapskate since suits can be made from USD14 or more in an amazingly short span of time. Just don't expect Saville Row standards over here. Go to the 5th floor and try your luck. If you're risk aversive, pay a little more and go by NYtimes' recommendation -> Shang Hai Xin Ya Tailoring Shop .
DVDs - Intellectual Property Rights are non-existent over here in Wild Wild Shenzhen. Watch the latest movie for only USD4. As many as 50 dvd touts will harrass you over here so you'll have no problem finding them.
Capitalism and commercialism thrive so well over here that you're likely to forget that China is still a communist country. Global brands like Coke have already become a mainstay and they even use their own international stars for promotion.
Photo Note : Liu Xiang, the Olympic Gold Medalist is seen on the left of the ad. He's my idol - since he is incredibly good looking and a talented hurdler! Next to him is Wilber Pan, a Taiwanese singer.