VOA in bao an airport?

My plan for this august is arriving at shenzhen airport from kuala lumpur at 10.30 am. Then i plan to stay for one night in shenzhen, and go to macau in the next day from shekou. Should i get a visa first or can i just get the 5 days visa in bao an shenzhen international airport? It cost me cheaper to apply for the voa than applying from indomesia. Oh yah, i am holding indonesian passport. There will be 10 of us.