You can usually get one way tickets between SZX and PVG for around $600 ~ $800 RMB... From time to time you might actually be able to find HKG - PVG tickets for around the same price when all taxes and fees are included, but those discount tickets usually have a min/max stay, and they're just generally not as flexible. I have never purchased China tickets in Hong Kong, so I don't know if there are additional fees associated with it... Another thing to think about is the extra time and money for you to actually get to the airport once you get into SZ. A taxi ride from Huang Gang or Lo Wu to Bao'An airport can easily cost you $100~$150 each way (but at least there's hardly ever any traffic along that stretch of the freeway) and nobody wants to take those buses with all the luggage.
And as Expatriate was saying... Most domestic flights are delayed...
IMO it's just not worth the time and hassle to fly out of SZX, but if you must...
China Southern Airlines China Eastern Airlines (they don't have an English site)