My other half went there, but from London with Virgin to Hong Kong overnight. It was then a bus to Shenzhen, bus stopped at border and everybody got off, I think it was customs and my other half took his suitcase etc with him even though the driver tried (in Chinese) to tell him not to but he met up again with the bus at the other side. Nobody speaks English and you won't be able to work out street signs etc so be warned. I know he had a visa before he went from the Chinese embassy but not sure about a visa to enter Shenzhen. I'll try and find out some more.