I will be travelling to mainland China on an X-visa after stopping off at Hong Kong for a few days.

Ruoxi, if your X type is a multiple entry one or you already change it into a resident permit, then you needn't applye for another one for Shenzhen and Wuhai. Otherwise, you need to apply one in HK.

My X type will be single entry. I will be studying in Nanjing and plan to travel to Nanjing by train. I have 30 days to change it to a residence permit from the day I enter the mainland. I don't understand why I would need to apply for the Shenzhen one if I am not going to be staying in Shenzhen (I will only be there for an hour max in order to travel to Shenzhen North station and then take the train to Wuhan).

Ruo Xi, you are right. You needn't apply for another one for Shenzhen. The X type is ok. According to what you said, you should have a X1 type. It requires you to change for a resident permit within 30 days. You should do this as early as you can.