1. starting from Tsim Sha Tsui, you could take the MTR to Luohu Port, where you could enter into Shenzhen. Then, you could take the Shenzhen subway to reach WOW directly.
2&3. Yes, you could apply for a 5-days' on-site visa at the Luohu Port. But, you could only stay in the Special Economic Zone of Shenzhen. So, if you would like to visit Beijing, too, please appy for a China Visa in advance. And, single-entry visa is ok~