If your going to HK first, then there are hundreds of travel agents who can get you a visa within a few hours and at reasonable cost, and yes you do need 2 or 3 photos.
From Hong Kong there is a modern fairly fast train to Shenzen, departs numerous times every day, quite punctual, easy to find the HK departure station, it's within the HK train system, from memory it's about 70 minutes trip, train is very clean, attendants come up and down continuously with a trolley with snacks, drinks etc., all at cheap prices.
On arrival in Shenzen it's just 3 or 4 minutes walk to passport and customs, both quick and very efficient. If there's a problem at the passport check a local immigration officer who speaks English is on the spot within seconds, all very friendly and courteous. Walk two minutes to the taxi area, well organized, lots of signs, plenty of taxis, 10 to 20 minutes to most parts of Shenzen. But it would be wise to give the taxi driver a note with the name and address of your hotel in Chinese. When you book your hotel you can easily copy hotel name and address from their website.
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