Probably more than two things to dwell on before a visa run amigo.

The closest or cheapest place may in the long run turn out not to be so. Other variables to consider.
Correct, if you have time and money, Las Vegas on private jet is a pretty good option.

Hong Kong train trip: has been 25 hours to Guangzhou for many years, then a quick comfortable fast train to Shenzhen (about 90 minutes), then you just go through immigration about 50 meters from the Shenzhen train station & get on Hong Kong's commuter RR, about 35 minutes to Tsim Sha Tsui in Kowloon. However, recently I think they have started a service direct from Kowloon to Shenzhen, which should cut the overall time a little.

Kunming to Shenzhen (East) K1206, leaves at 08:41, arrives at 13:48 next day (Total trip: 29-30 hours).

Cost: Soft sleeper 556/ hard sleeper 353/ hard seat 206.

From there, I believe you can take subway line 3 (blue), from BuJi station. Transfer to line 1 (green) at Laojie station. (Total trip: 50 minutes-1 hour).

I don't know the names BuJi station of Laojie station or where they are meant to be, but the station rapid commuter trains from Guangzhou Station arrive at in Shenzhen is where Immigration is, and the HK commuter train (every 8 minutes or something) you take just across the border from Lwohu in HK goes to Hong Hom Station in Kowloon.

There are actually 2 border crossings from Shenzhen to Hong Kong.

Metro Line 1 goes all the way to and ends at Luohu, which is the busiest crossing. If you change lines at the Convention Center and go on line 4 just 2 more stations you will get to the Futian Check Point. That's Lok Ma Chau on the Hong Kong side, while Luohu is Lowu on the HK side.

The MTR from either crossing has trains that go down to Hong Hom, and even one more stop to TST EAST, and from there you can go through the underground passage on the moving sidewalk to the main TST station and from their go anywhere.

@ AlPage: I don't quite get it - does the K1206 go to some station in Shenzhen OTHER than the one at Luohu? I've never been to any other station there. If it does, I'd suggest just taking the K1206 (or another train) to Guangzhou (I did it recently, was 24-25 hours instead of 30) and changing to the rapid train to Shenzhen there, though it might be slightly more expensive (guangzhou-Shenzhen rapid train is about rmb80).

@Alien

He's talking about the Shenzhen metro lines.

You'd recommend people to take a 25 hour train to Guangzhou, then a high speed line to Shenzhen/Hk border over a 2 hour flight (HK Express from Kunming) for 300-600rmb?

I also don't know why anyone would take a train from Guangzhou to Shenzhen to cross over to Hong Kong when you can get a train from Guangzhou to Hong Kong.
But really, take the plane. Personal time has value too.

Haha!

@ Napoleon: yes.