Hello Avi, there is no train from Hong Kong to Shenzhen since these two cities are just separated by a custom port. Yes, you need a visa to enter into Shenzhen from HK. The visa could be appled when you arrive at the custom port. However, if you just have 5-6 hours, it may be tightly both for acrossing the port, applying for visa and shopping. Why don't you do shopping in Hong Kong where the price of most goods is cheaper~