Yes, Shenzhen can be finished in one day, covering Window of the World, or China Splendid you are like. It is nearby WOW. To see the city, you can get to Dongmen area and Luohu commercial area then back to Hong Kong by rail from Luohu. Kids can enter Venetian, coz there are many other kinds of enterrainment, such as cruise along the Canal, special street show for kids. As to hotels in Mongkok, you can consider Hong Kong Budget Hostel.