we're going to macau on jan 2012,we want to go Shenzhen,is there a visa needed?we hve Phip Passport

we are going to macau on jan. 2012, we want to go to Shenzhen for a day tour only, do we need to apply for a visa?if so, where can we get the visa?how many days to process the visa to shenzhen?from macau, what is the cheapest mode of transportation to shenzhen?