Do you need to apply in advance for a transit visa?

we will be traveling to Malaysia, but have 2 separate airline tickets - one to Shanghai (PVG), and another from PVG to Malaysia. The flight to Malaysia leaves within 7 hours of the flight to Shanghai, but because it is 2 separate tickets, they may not check our bags all the way through. If i have to clear immigration to get my bags, will i need to apply for a 72 hour transfer in advance, or can i do it at the airport?