Shenzhen is a 1hr train ride from Hong Kong and you will need a Visa becuase you are entering main land China. I took a tour their and we got to go in the first class cabin on the train which was no more than a seat with padding but it beat the metal seats in the other cabins. We went to see a couple of the Terricotta Warriors in this museium. However the main part of the tour was a visit to Lo Wu shopping centre and if you are looking for copy gear this is the place to go there in about 5 floors of it and you can bargain to your hearts content.