Include your visa, such as L visa or G visa. Also bring Hong Kong dollar change for easy bus rides or an Octopus card.
You come to Hong Kong mainly for shopping, and you enter from Shenzhen Bay Port and go to Tuen Mun or Yuen Long. You can take B3X to Tuen Mun city center and B2 to Yuen Long (both journeys take about 15 minutes).
I would recommend going to Yuen Long, because the shopping locations are relatively concentrated. You can buy all the things you want to buy on Yuen Long Main Road and Education Road, which is parallel to the main road.
You can buy traditional Chinese medicine supplements at Shiyuantang, Beijing Tongrentang, and China Resources Tang (recommended). Other Chinese and Western medicine supplements can be purchased at chain stores such as Mannings and Watsons.
Currently there are not many products that are restricted from being taken out of Hong Kong, and the focus is on "infant formula powder". To take B2 to Yuen Long, you have to pay the fare in stages. You pay 8.5 yuan first to get on the bus, and then pay another 3.5 yuan when you get off the bus (after passing Hung Shui Qiao Station). If you use an Octopus, you need to swipe it once when you get on the bus and again when you get off the bus.