I am Australian, in BKK ... want to visit HK and Shenzhen

Hello Michale! Since you have Australian passport, you don't need the entry permit for HK if your stay won't exceed 90 days. As for Shenzhen entry permit, you can either apply at Thailand or apply for a VOA. However, the VOA only allows you to stay in Shenzhen for five days. Anyway, I suggest you apply for an L type entry permit for Shenhen at Bangkok.