You are making it more complex than it real is.
PRINT THESE INSTRUCTIONS
Here are the written instructions on how to carry out the process.
Total time: approx. 90 minutes from getting on KCRC in Tsim Sha Tsui East and return in to the KCRC in Tsim Sha Tsui East
Total Cost (w/o China Visa*): approx. HD60
This what you need to do...Assuming you have a visa for China* and Assuming you can read the ENGLISH
(Chinglish) on the posted sign:
1. Board the KCRC (train)
www.kcrc.com.hk
2. Exit the KCRC in Lo Wu (the end) - go through the KCRC turn-style
3. Approach Hong Kong Immigration - Visitors [here the immigration officer will stamp you passport for exiting HKSAR]
4. Exit the Hong Kong Immigration - Visitors baring right - cross the bridge - you will enter another building on the other-side of the bridge - walk straight at the same time bare right (DO NOT GO UP or DOWN ANY STAIRS) - on the back wall at the silver counter there is a white form carbon copy yellow form connected together fill it out. Check 'leisure trip'
5. Approach the China Immigration officer on the left-side of the China Immigration Hall (here is when you will enter China)
6. Once the China Immigration officer stamps your passport exit - baring right - you will pass the conveyer belt where they check bags -follow the crowd to exit the building - as exit the building bare right (on your left side you will see two covered escalators) go up the up escalator!
7. When at the top of the escalator turn right then your first right and go over the bridge back into the immigration hall - turn right go all the way to the end where you will enter another immigration area on your left you will see several counters where immigration officers sit. Also you will see silver counters with silver boxes - take the blue and white paper (form) fill it out and add the sticker that HK Immigration gave you into your passport.
8. Approach China Immigration counter on the right side of the hall the immigration officer stamp your passport - exit by staying to the right side - again you will pass the conveyer where they check bags proceed straight then a slight left turn you will go up and escalator (or stairs) on your right when at the top walk straight across the bridge
9. On the other side of the bridge you will go up the escalator into the Hong Kong Immigration hall for HK RESIDENTS and PERMENANT RESIDENTS approach an Immigration officer where the up sign is labeled "HK RESIDENT" Note there is no form to fill out here.
10. The immigration officer will look for your sticker - and when s/he sees it they will stamp your passport. You will exit baring right follow the crowd as it will lead you to the KCRC platform - get off the KCRC wherever you would like.
*China Visa can be obtained through any travel agent - the cost varies based on what passport you hold.
*A China Visa can be obtained between steps 4 and 5 -
Once you cross the bridge from exiting HK and enter the China Immigration hall walk straight - you will pass stairs down but proceed straight till you pass where the people are going down - turn around and you will see stairs leading up - go up the stairs and pay to obtain a visa to enter Shenzhen only - however if you are a US passport holder this is not an option for you!
IF USA PASSPORT HOLDER you must obtain a visa from a travel agent in Hong Kong or at:
7th Floor, Lower Block, China Resources Building,
No.26, Harbor Road, Wanchai, Hong Kong SAR
Office Hours: Monday to Friday (except Hong Kong public holidays,) 9:00-12:00 14:00-17:00
10 Steps to activate work visa 
