Do I need a visa to go from Hong Kong regardless to how I get there? I live in California.

I live in California will fly to Hong Kong and spend the first night at the airport hotel. I loved the buffet there last time I was there and can't wait to eat there again.

Then I want to continue on to Shenzhen for about four days. I took a airport shuttle. Do I have to purchase a visa here before I leave ? It was so expensive and this time my family will be with me. Is there a way to save money?

It was two years ago, do you know the cost now? What is the best way to get to Shenzhen from HK?