If I request to pick up my train ticket instead of having it delivered, where do I pick it up at?

You mean you want to take a train from GL to Shenzhen?
If so, you can pick up the train tickets at GL Railway Station. If now you are not in GL, you can go to any railway station in your city to pick. For instance, you are in KM, you can also pick up your tickets from Kunming Railway Station.