How to get to shenzhen from Hong Kong?

Rail travel is recommended. At Hung Hom MTR station, you can take East Rail line to Lo Wu. After getting off, go through the immigration and walk to Shenzhen Luohu.

Yes, no visa is needed to HK, and you are exempt from visa for 30 days. But to travel in Shenzhen, you can get the visa on arrival if showing passports with proof that they have been issued Chinese visa before by embassies and consulates. Without that record, you should apply for a China visa in advance in your country.