Planning a trip to Hong Kong then to Shenzhen and Zhuhai

Hi, My family i.e My dad, mom, my sis, my friend and me are planning a trip to Hong Kong in the month of June.. we have bought our plane tickets going and coming from Hong Kong. We plan to do a 2 day stop over at Shenzhen and Zhuhau if possible. Can I apply for the visa from India, if yes is it possible to do it from Bangalore? I also hear that it is possible to get a Visa from Hong Kong itself... Do you know any trusted agency in HK to get Shenzhen's Visa? And what are the chances that we will get a Visa to Shenzhen, once we are at Hong Kong..

Please let us know. Thanks in advance : )