Suggest you go by bus, as there is only one train from Shenzhen West Railway Station to ZHaoqing, nearly 4.5 hours. There are more buses. If you leaves from Luohu, Shenzhen, you can get to ZHaoqing 3 hours later. If leaving from Futian, it will be 3.5-4 hours. Buses are available from 7am to 7:30pm. Detailed time schedule, you should make an inquiry to the bus station.