I will visit Shenzhen from Hong Kong, do I need to apply China visa in Malaysia or Luohu port?

Hi! I am a Malaysian. I plan for visit Hong Kong and ShenZhen during December 2011. Did i need to apply Visa in Malaysia for visiting ShenZhen for 1 day before i depart from Malaysia and i will go from Hong Kong to Luhou for visiting ShenZhen? Or there are any others ways for apply visa at the border of ShenZhen? thanks