Hi. I am an American citizen traveling to HKG and want to visit friend in Szenzhen for 3 or 4 days

Yes, you should apply for a L type from Chinese consulate in US in advance. Just ask your friend to send you an invitation letter together with a copy of his Chinese ID card or copies of his passport and visa/resident permit. Then you need not prepare round-trip air tickets and hotel reservation in Shenzhen.

Thank you so much for the very helpful and prompt reply. It is much appreciated.