My Chinese Visa is just expired and I need to be in SZ

I think you should apply for a multiple Chinese type in advance. The 5-day VOA is not ok for your situation.

How to apply in advance? I am leaving from Denmark now?

If you already leave Denmark, you might try to apply when you arrive in HK. According to the latest rule, those applicants who apply in HK must provide their HK resident status. But some nationals from the USA or UK still can apply successfully there. I don't know if you can get one in HK. Here is another way, try to find the local biggest travel agency (you can easily find its branches in HK) and ask them to apply for you. They are much more capable than you.