Living in Shenzhen?? (Hong Kong)

Hi all,

I'm planning to move to HKG before Protected content . My Hong Kong friends told me since the rent is very high in Hong Kong, many people choose to live in Shenzhen and travel to work in HKG everyday.
Is that a good suggestion? and which area in Shenzhen is the cloest to Hong Kong? How long does it take to reach Central?

I hope this subject is relevent to this forum....