If I land in xiamen to transfer to Shenzhen, will I have to pick up my luggage and then recheck it?

Yes, it's international to domestic transfer. Thus you need to pick up your luggage and recheck in.
Here are the correct procedures: Flight Arrival- International Arrival Access- Quarantine& Inspection- Immigration- Luggage Claim- Customs- Internatinal Arrival Hall- Go to 2F for Boarding. There are clear English guiding signs for your convenience. Take it easy!