On the 26th Dec 2009, i went to Shenzhen, China Via Hongkong train. My journey starts from Mongkok subway to Lu wu station of Hongkong . To reach to Hk immigration you need to walk for about 10 minutes. Then proceed to china immigration.
To go to WOW, i used Shenzhen subway. You can see a lot. Just look at my picture. It tells you everything.