HOW MANY VISA NEED TO APPLY FOR SHENZHEN & HONG KONG VISIT

My sister in law in Shenzhen advise me to visit her by go through Hong Kong airport instead of Shanghai or Beijing airport as I am having a free ticket from MAS airline (Which not landed in Shenzhen airport) . She said it is fast and cheap if I go to Hong Kong airport and take a bus to Shenzhen. In this case, if I apply for double entry to China, do I need to apply one to Hong Kong as well?. Thank you in advance.