Hi, you need Chinese visa or visa-on-arrival to enter Shenzhen from Hong Kong. The best way is to take mtr at Hung Hom to Shenzhen Luohu (33HKD per person) and you will arrive in Shenzhen 45minutes later. You can choose to stay Dongmen Area, two subway stops from Luohu mtr Station and the station at Dongmen is called Laojie Station. It is convenient to shop and eat there and has convenient transport to Luohu and Window of the World, China Splendid, etc via metro. If you want to go Macau directly from Shenzhen, you can go to Shezhen Shekou Port. There are ferry to Macau and it is faster than taking a bus.Shenzhen is not cold on Feb, about 15-20C.