As I understood, we must first take a bus to Lowu.

How far do we need to walk from the bus station to the immigration checkpoint? And from the checkpoint to the train station?
How about with bags, is it convenient?
Then after that where should we go to take the train?
Also what is the fare like for the bus and the train?

Thank you in advance.

You can go by boat from Shenzhen airport to Hong Kong if you wish. As you get towards the airport exit you can see a line of counters all representing different companies for the boat.

You can go by bus from Shenzhen airport to Hong Kong. I think it costs about 150 rmb. You have to get off the bus at the checkpoint then wait for the bus again on Hong Kong side. It takes about two hours all told I seem to remember, but I've only done this once.

By train - you need to get from the airport to Lowu. I've only done this by taxi and it's not exactly a short trip. Costs about 150 rmb too. When you get to Lowu you have to go through immigration for leaving China and entering Hong Kong. This takes ages and is a real pain in the arse. The whole area is a real mess and nothing is clear as to where you should go. Once you go through HK immigration the train directly in front of you. The train takes about 35 minutes to Central.

Also be careful around the train station at Lowu. There are lots of dodgy waidi's there and African drug dealers. It's a disgusting place to be honest. You can see used syringes

Actually it was simpler than that for me, but admittedly I had an agents help. Took the bus from airport to Lowu. Bus ends there, shortish walk to immigration, once thru there we took train one stop, then back again. Had to wait at least an hour for visa to be fixed to P/P. I took taxi back to airport, as was running a little late for my flight back. I think the bus was 30-40, taxi 100, and a few RMB for train. The trip from airport is around 40 minutes. Some luggage should not be a problem.
If you want to avoid spending a night in Shenzhen, you can get early flight, then return late afternoon.