visa for 1 night in Shenzhen for Thai passpor holder

we are planning to stay in shenzhen for 1 nights on 26th October 2011 by depart from Hongkong...I have come to here 1 time on 2005 and this year I would like to visit again because I still not see some place and I take my friend 1 person as she never come here. Can we apply visa on arrival? Is that possible? please info..
Regard,
Tharupond