Some good info for you, i.e. just go to Lo Wu and get it, unless you are an Americanski. I see that UK passport holders have to pay more as perusual as Gordon Brown our prime minister has been pissing china off for a while, same with Russia (visa cost is x4 for UK citizens)
In most cases, a visa should be obtained from a Chinese embassy or consulate before arriving anywhere in China, see the China page for more information.
Certain nationalities visiting from Hong Kong can obtain a single-entry five-day Special Economic Zone Tourism Visa on arrival for ¥160-1,000. The office is at Lo Wu (Luohu) upstairs after clearing Hong Kong immigration and customs, and currently only accepts RMB as payment. It is open 9AM-10:30PM seven days a week. It can be reached at +86 755 8232 7700. The visas are reported to be available for Australian, Canadian, New Zealand, and British passport holders. Note that the charge for UK passports is much higher at currently ¥469 for the 5-day Shenzhen visa, it is ¥160 for most other nationalities. Irish travellers are sometimes charged the high UK price when they are unlucky to get a boarder official who is unaware that the UK and Ireland are different countries. US passport holders will not get any visa and may get fined for arriving there without a valid visa! 5 day visas can be issued on arrival at Huanggang and Shekou ferry port border offices. There is no visa-on-arrival office at Lok Ma Chau (Futian).
Beside the 5-day SEZ visa you can also get a full China visa (single and double entry only) at the Luohu border. Again, UK passport holders pay more, US passport holders are not served there.
Getting a tourist visa in Hong Kong now takes 3-4 days and costs HK$150-1,100. A list of costs is available. The old approach of arriving in Hong Kong and immediately applying for a visa is no longer worth the cost as you may be forced to pay expensive hotel bills in Hong Kong until your visa is granted. Macau's visa office is less crowded and the hotels a bit cheaper, but it takes just as long. In general, only single and double entry visas are granted to visitors without HKID cards, although foreigners with previous entries into the mainland or Hong Kong student and work visas have been known to be approved for multiple entries.
You can get a taxi van from HK Airport to Huanggang border crossing, through customs and immigration, for HK$150. Well worth it if you have a valid visa. The drivers and desk staff speak English.
