If you will be arriving after midnight you would not be able to catch the last airport express train leaving the airport at 00:48. Hong Kong International Airport is a big airport, it takes some time to get to the train. 1) When you take the airport express to Shenzhen, buy a ticket to get off at the first stop at Tsing Yi to change to the orange MTR line.
Buy another MTR ticket here to go to Lok Ma Chau. 2) Get off at the next stop at Lai King to change to the red line. 3) Cross over to the green line at Prince Edward station.
4) Get off at Kowloon Tong station and go to take the blue line. There are 2 terminals for the blue line. Make sure you take the one that ends at Lok Ma Chau from where you can cross the border into Futian.
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