If you participate a tour group,you need not to apply for a visa within a stay of 144 hours. If you want to travel alone, you can go to the immigration affairs department of Hong Kong, suggest 1-3 days before you go. Or you can also entrust a reliable travel agency which can help apply for a visa for you much easier and faster.
Get to Lohu station through Hong Kong KCR and then take direct subway to window of the World after getting through the Lohu border.