Hi there! Is it possible to go to Shenzhen for 1 day and be back in HK on the same day?

Hi Banban, it is pretty simple procedure. If you can take the MTR train (runs almost once in every 10~15 min) from Hung hom station. The cost of the MTR pass is HK$ 38 per adult. It takes about 40 min to reach LoWu, the last terminal point for that service line. Just follow the signals after coming out from the railway station. You enter the building on HK side, where the HK immigration will first check you out and the PRC immigration counters are located at about 100 mts from there. Just follow signals in English and you don't even need to ask any one. Overall it takes about an hour to hour plus, depending on where you are coming from...to get inside PRC from HK.
Pls do your home work on what you want to do and organize your program, else you may not get any help. Very few people speak in english. As per visa, you better check the PRC websites for chinese visa rules as applicable for Philippines. The rules does change quite frequently, hence it is better to confirm before you leave Hong Kong.

Cheers,
Rao