Yes, you need to apply for a visa to Shenzhen in advance through Chinese embassy or visa office in HK. There is no VOA available now, but you will be exempted from visa process to Hainan if you join international tourist group organized by any of the registered travel agencies in Hainan Province which is approved by China National Tourism Administration and stay up to 21 days. and exempted from applying for a visa if you join tourist group at Hong Kong and Macao organized by registered travel agencies in Hong Kong and Macao to visit the Pearl River Delta region (Guangzhou, Shenzhen, Zhuhai, Foshan, Dongguan, Zhongshan, Zhaoqing, Huzhou Municipalities) for tourism and stay up to 6 days.
You can read Beijing Tours(https://www.travelchinaguide.com/package/beijing.htm) if you need more travel information.