Yes, you need to apply visas to both shenzhen and HK, and of course, you need to pay two visa fees since the visa policy is different in these two places. And as your plan, the HK visa should be double entry. Here you can download the Application form for PRC(https://www.travelchinaguide.com/embassy/pdf/visa-application.pdf) and Application Form for HK(https://www.travelchinaguide.com/embassy/pdf/hk-new.pdf) .