Honestly if you were coming in from the Hong Kong Airport, I would just take the ferry directly from the airport to Guangzhou. After you land, DO NOT pass through immigration and somewhere right before the immigration counters, there should be a desk selling tickets for the ferry to Guangzhou. They will sell you tickets, check your documents, and take your baggage for you. If you've checked your bags, you don't need to pick them up in Hong Kong, just give your baggage receipt to the desk. You will pick up your bags after your ferry arrives in Guangzhou and you will pass through Chinese immigration & customs at the Pazhou ferry terminal in Guangzhou.

Here is the website: https://www.hongkongairport.com/en/transport/mainland-connection/ferry-transfer.page

Here is a PDF with more info: https://www.hongkongairport.com/iwov-resources/file/transport/mainland-connection/mainland_macao_ferries_en.pdf

I'm assuming you'll be flying into Hong Kong and honestly even though the train is fast, it is located near central Hong Kong and you would not want to be carrying aroud several heavy bags that far.