The area next to Hong Kong-China Boundary in Hong Kong is Frontier Closed Area. Only permitted people can access it. If you want to cross the boundary, the cheapest way is Huangbus (皇巴士) from Huanggang Port to San Tin Public Transport Interchange. It costs $9 HKD, paid by cash or Octopus card.
Dont expect to hitchhike in GuangDong. Each year many drivers were murdered or lost property in the highway because of this, so they just will ignore you. By the way, if you wish to walk from Guangzhou to Shenzhen, there is not much information, but there is a fundraising program called "Walk to Guangzhou" (行路上廣州), in which the participants walked 3-4 days from Hong Kong to Guangzhou. That's all what I know.
Hitchhiking in HK.
Same as in Guangdong, it is unlikely that hitchhiking would work in HK. The transport network in Hong Kong is good but they are not very pedestrian-friendly.
New Territories and Kowloon are on the same piece of land next to Shenzhen and you can go there on foot. However, not many islands in HK are connected by tunnel/bridge available for pedestrians, even with Lantau Island (the largest Island in HK) and Hong Kong Island (CBD and urban area).
Between New Territories and Kowloon
When you search for a walking route from Lok Ma Chau to Kowloon in Google Maps, there are three options. I recommend the one though Tai Po Rd because it has fewer hiking routes.
If you wish to walk/cycle between Kowloon and Yuen Long or Tuen Mun, following Castle Peak Road is the best option.
Between New Territories/Kowloon to Hong Kong Island
There isn't a pedestrian/cycling route between them, but there are a lot of transport options. The cheapest option from Kowloon to Hong Kong Island is from Tsim Sha Tsui Ferry Pier to Central or Wan Chai. It costs $2.5/$3.4 and there are departures every 10-20mins.. In addition, there is a ferry service from Kwun Tong/Hung Hom to North Point.
Between New Territories/Kowloon and Lantau Island
There is bus, MTR (metro/subway), and Ferry services from New Territories/Kowloon to Lantau Island.
However, most bus services and MTR only travel to Tung Chung or the airport. You have to transfer to New Lantau bus bus services between Lantau. The only ferry services to Lantau Island are Fortune Ferry from Tuen Mum to Tai O, via Tung Chung and Sha Lo Wan.
However, it is possible to walk/cycle between the tourist spots in Lantau Island.
Bus and ferry tickets are purchased on board, while MTR tickets are purchased in the station.
All other Islands except Tsing Yi, Ap Lei Chau and Chek Lap Kok (Airport) are connected by ferry only. Most ferry services depart at Central Ferry Pier, although some services depart in Sai Kung Ferry Pier (mainly to island in Sai Kung region) or Ma Liu Shui Ferry Pier (to those in the northwest).
Cycling is available on most roads, except highways, tunnels and country parks. There are also cycle tracks which are mainly located in the New Territories. You can find cycle shops easily in the New Territories region.
Check here for further details.