Fly to Hong Kong and stay in the City hostel on Mt Davis. Although it is somewhat distant from the city centre, Mt Davis's tranquillity and magnificent harbour view, particularly at night, makes it good value for money.
Mt Davis itself is also a piece of history, its commanding location was where the British Forces once fought against the Japanese during the Second World War. Abandoned batteries and bunkers can still be found near the hostel.
Coming from the Hong Kong International Airport, you can take the Airport Express train to the last stop and look for Shun Tak Centre (Macau Ferry Terminal). Options for reaching Mt Davis Hostel are as follows:
Get a taxi to go to the Mt Davis Path and tell the driver to follow a long winding narrow road all the way up to the top; (about HK$50)
Wait for the shuttle bus run by the YHA from Shun Tak Centre, it may be wise to check the time table with the hostel by ringing 2817 5715 beforehand;
If you fancy a challenge during the day, take bus 47A or Mini bus 54, get off at the junction between Victoria Rd and Mt Davis Rd, walk back about 100 metres, follow the winding path up for about 2 km. It is good exercise assuming you have no heavy luggage! (Make sure you take Mt Davis Path and not Mt Davis Road as they are only 100 metres apart from Victoria Road).
Leaving Mt Davis, you can take any cross harbour tunnel bus (via Causeway Bay & Hunghom) and get off immediately after the tunnel. Go up the footbridge and the Hunghom Railway Terminal is within walking distance. There are trains departing every three minutes from here. You can either buy a ticket to Lok Ma Chau, which will enable you to go straight to Shenzhen. Or you can stay over at Bradbury Lodge on the way.