If you want to travel by train, you can go to Zhangjiagang first and then go to Shenzhen. However, Zhangjiagang has no passenger railway station and the nearest one is in Wuxi. So you can take a bullet train or express train from Beijing to Wuxi and then transfer to a bus to go to Zhangjiagang. To go to Shenzhen, you can take a bus from Zhangjiagang to Shanghai. There is only one train available from Shanghai to Shenzhen. To book the train tickets, you can do them directly on this website.