If choose one out of bus and train, of course train for it is more comfortable. You can go to Shenzhen Railway Station to take train to Changsha. The ticket fare is CNY314 for soft sleeper and CNY205 for hard sleeper. The journey is about 9-10 hours. If you want to be faster. You can take bullet train (D trains) from Shenzhen to Guangzhou or Guangzhou East. Then get to Guangzhou North or Guangzhou South to take the G trains to Changsha which costs at most 2.5 hours from Guangzhou to Changsha (plus one hours from Shenzhen to Guangzhou) You can check all the China Train tickets(https://www.travelchinaguide.com/china-trains/) to find details.