You can either train/bus or ferry - best to ask conceige at your hotel for info. You will also need a Chinese visa. I would guess that Monday is a better day to travel as most people will be at work.
I'm *guessing* you're from the UK (dunno how I know), but just in case you have an American passport or something (such as I do), Americans are NOT allowed to apply for on-the-spot visas at the border--something that doesn't apply to any other nationality. I dare not speculate why this is the case, but from this past Saturday's experience, it is so.
Take the KCR East Rail from Tsim Sha Tsui or Kowloon Tong and go to the last station, which is at the chinese border. It takes about 45 minues. Any day is pretty much the same mess: thousands of people at the border ! Well, that's China!
If you are from the UK, you can buy the visa (valid 24 hours) at the border (150 HKD), between the HK immigration and the chinese passport control. The last train coming back to HK leaves around midnight.
