Yes, Shenzhen is a nice city for gifts and electronics. The SEGEM Electronics Market in Shenzhen is highly recommended. The gifts wholesale markets are also in a large number.
You can take the Train T107 or K105 from Beijing West Railway Station to Shenzhen. The runtime of Train T107 is about 24 hours and the Train K105 needs more than 29 hours. If you cannot stand such a long time, you can go to Shenzhen from Beijing Capital International Airport by air. It can save much more time for you.