Is it easy to find train ticket to shenzhen / guilin directly? Or I have to book online?

Well, as I know, there are only 4 high-speed trains between Shenzhen and Guilin every day. So you are suggested to book them online in advance in case the tickets may be sold out. The official website doesn't have English booking page. You can ask help for TravelChinaGuide. Their contact information is bookingtravelchinaguide.com.
Notably, you don't need to book the tickets between Guangzhou and Shenzhen. There are many schedules. You can go to buy it just before departure.