Hi

You visa question I'm not sure, I have a resident permit so I do what I want, but I know visas can be a right pain, so best to contact a proper consulate for that one: you don't want to be stranded on one side or undesirable at the other end!

There might be a service from SZ airport to HK but I can't tell you for sure (not on this site because I know a lot, in fact I'm looking for info on the Chinese new year here!). I'll tell you what I do and how I do it and then you can see what other info you can get:
I use eternal East limos to get to/from HK airport and to/from Shenzhenwan (=Shenzhen bay bridge in the Nanshan district). 150 HK dollars per person one way. I'm pretty sure they offer services to other locations, such as hotels in HK, so you can get a drop off closer to where you want to go. They have a bus service too. I normally use the 7 seaters with my family and whoever else is there to make up 7. You will go through 2 lots of customs in the car, the driver will demand your passpor and make you fill in 2 diferent pieces of paper.

You can also get to Shenzhenwan (again) and just as you come out of the taxi, and before you step under a walkway that leads to customs, you will see a small metal box with ladies sitting in there. Show them where you want to go on the HK MTR map they have (may be some prior research there) and they will tell you where they can drop you off by bus -knowing that from there you can grab an MTR or a taxi easily since everyone speaks English- It's cheaper and you cna stick your luggage down in the luggage compartment. They will put a sticker on you, tell you the bay number and give you a ticket. You will go through 2 lots of customs on foot. Clean loo on the HK side as you come out just before getting in the bus, lol!

Hope this helps!

hi the best way to get in to hk and back is to contact your chinese consulate and get a 3 month multi entre visa. it is easy enough, you must already have single entry visa. and the train is 40 min to hk so it is so easy. and a pleasure.

Malaysian passport does not require visas for Hong Kong. But a valid visa is needed EVERY time you enter China, so get a multiple. I cannot see any reason to stay three days in Shenzhen. Might be an idea to spend two days in guangzhou and a day in Shenzhen. Plenty of reasonable hotels there. Go on the various websites.