You will get in Shenzhen through Shekou border by ferry and you need Chinese visa to enter. You can have the visa in advance in your country before leaving, or in Macau through local travel agency or visa on-arrival in Shekou border. Take K203 at SHekou Dock to the end stop and then change to taxi to your hotel. If you take taxi, it will costs about 80-100RMB from shekou to your hotel, one taxi and you need at least two.