How to go from shenzhen airport to nearest metro station?

The nearest metro station is Hourui. You can take shuttle bus M416 from the airport to arrive in 10min.

how to get from SZ, guangdong china to the Australian Embassy?

Australia Embassy is in Beijing. You should fly to Beijing first and then take shuttle bus line 3 to Dongzhimen. Walk to the embassy thereafter. By the way, it is located at no. 21 Dongzhimenwai Street, Chaoyang District, Beijing.

If you refer to the Australia visa center, the closest one is in Guangzhou and the location is building no. 29, Huimei Building, No. 3, Jinsui Road, Zhujiang New Town. You can take a high speed train from Luohu Station to Guangzhou East. Then take subway line 3 to Tiyu Xilu. Leave from exit G and you can walk there in 10min.