You can reach the Shenzhen Airport by the Shenzhen metro.
Get to Shenzhen from Lo Wu (take MTR to there). After passing through the Custom, you can take the Luobao Line (Line No 1) to the Airport East station (the final station). It will take around 68 mins and RMB 9.
The map of Shenzhen Metro: http://www.szmc.net/cms/page?arg=en/bigmap