Hi, I'm going HK and Macau with my mom n sis (3 girls) is it safe to go Shenzhen?

We will b going from wed to Sunday, we will b staying in HK frm wed to sat (3nights), sat to Sunday(1 night) in Macau going back to SIN from Macau. We love shopping but not sure if we shld go Shenzhen for half a day shopping? Is it worth going?
We will b going Disneyland on thurs n halfday to the wax museum at the peak on fri. Leaving us with 1 day to shop in HK.
We r thinking of going either on wed after we arrive, 10:30am n check in the HK hotel or shld we go shenzhen from Macau on sun (flight back to SIN frm Macau departs at 9:30pm)

How do we travel to Shenzhen frm HK is it nearer than traveling from Macau to Shenzhen and how?

Please help we need this info soon! Leaving in 3 wks time we wan to plan our itinerary so as to fully utilize our time:)
Thank you so much!