Take the Hong Kong MTR train to Lowu station, go through the Hong Kong and Shenzhen immigrations, and then take the train from the Lowu train station, Shenzhen to Guangzhou, or vice versa.
The Lowu train station, Shenzhen is located just right next to the Hong Kong/Shenzhen immigration building. So the train transfer between Hong Kong and Shenzhen is not difficult.
This way is less expensive, and you can go almost at any time you want, since there is always a train every 10 minutes from Lowu, Shenzhen to Guangzhou East Railway Station, or Guangzhou East Railway Station to Lowu, Shenzhen.
The train journey of Shenzhen -Guangzhou takes about 80 minutes, and costs RMB 80 for Second Class Seat. The Hong Kong train (subway) fare from Hung Hom, Kowloon to Lo Wu is HK$37.5 and time is 44 minutes. Adding up, the whole journey from Hung Hom, Kowloon to Guangzhou through the non-through-train way is about HK$140, cheaper than the aforementioned through-train way.
If you miss the last Guangzhou-Kowloon Through Train at Hung Hom that may be a good choice for you take a take the Hong Kong MTR train to Lowu station then take the train from the Lowu train station to Guangzhou East Railway Station .