Vietnamese need HK visa to enter Hong Kong and Chinese visa to enter Shenzhen and Guangzhou (mainland China).
Generally speaking, the visa on arrival is available to Shenzhen and Guangzhou from Macau or Hong Kong, via border customs. That should be Gongbei Border of Zhuhai if you come from Macau. As your route, I suggest: AU-HK-Macau-Guangzhou-Shenzhen-HK-Au or Au-HK-Shenzhen-Guangzhou-Macau-HK-Au. As to the visa, it is better to have it in advance, for the on-sie visa may be not available sometimes. That is hard to say. You can have the visa in Hong Kong.
I just know the on-site visa to mainland China is 150HKD (150CNY). For details you should ask the visa office. The charges are equivalent between China and other countries.