Moving from working Visa (Z) to study type (X)

Hello
Actually I'm living and working in China and I hold a valid working type (Z) till May-2015. Next month I will quit my job and become a student in a chinese university.
I have been told in order to change from current Z type, to future X type, I should exit China, is this like so?

Is it possible to directly switch a Z type for an X type?

Thanks!