For the Shenzhen 5-day visa - yes, you can. I did go outside Shenzhen and passports are not being checked. Chances are small, but if you get into trouble with police though, expect double trouble. Play stupid foreigner who can't read Chinese and didn't know his visa was for SZ only. Oh, and you can't check in at a hotel with that visa. Even if the hotel allows you, they scan all passports/visas and send them to the police. So if you stay at the sauna, it will be fine; if not, don't play until late at night and just go back to Shenzhen to stay in a hotel.
Best is to get there by cross-border bus, I think. A bus from Lo Wu will be dirtier/less comfortable. Buses should run from all major stations - the one in Sheung Wan near CTS, the one in Jordan etc.
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