For your reference only: A friend came from Hong Kong told me that if you have valid passport, you are able to apply for a five-day on-site visa at the Luo Hu Land Port of Shenzhen by filling out a required form. And, in the five days, you could just travel in the Shenzhen Special Economic Zone.

Yes, of course you could get it by arriving the Luohu Port. The fee is about 180RMB for one.
From a traveler's recent experience there, she said that only Chinese RMB cash is accepted.