Visa for Guangzhou and Shenzhen

We will be travelling to Guangzhou then the Bullet train to Shenzhen.I have heard we don't need an entry permit for Guangzhou? and I do know we need one For Shenzhen, as I have been many times and got them from the HK Shenzhen border.My question is can you get an entry permit when we get off the train in Shenzhen, or do I get one in Australia before I go.