VOA to shenzhen from shekou port or Lo Wu border

Just reconfirm, what's your suggest for me ( I'm from Indonesia, as a tourist with my family - 5 members) to apply 5 days VOA to shenzen, because I'll take ferry from macau, and shekou port is the closest way to shenzen from macau or I 'd better apply the VOA from Lo Wu border? As I known you have miggration office in shekou port as well for applying VOA Visa? Thank you..