I think you can.

Hi, Pak Yohanes.

Although I haven't proved it myself, I'm sure u can. Just last week, my wife easily applied and got a Visa On Arrival in Shekou Port (this is the port in Shenzhen if u come by ferry from HK). The fee is RMB 160, the visa is valid for 5 days, and it is specifically for Shenzen area only (u can't go to other China provinces). The process only took about 15 minutes, no hassle whatsoever. U just have to make sure that u come during working hours; in Shekou, the Visa Counter closes at 5.30 PM.

In Lo Wu (or is it Luo Hu?), I think Indonesians (and many other nationalities) can get Shenzhen Visa On Arrival with no problem.
At least I know it's a very common thing to do for Indonesian tourists / shoppers. You'll be amazed on how of us u will bump-in to while u do some shopping at Luo Hu shopping center :)
Hope this helps.