Fly from Malaysia - Shenzen. From Shenzen to Hong Kong by Train. is visa needed while in shenzen?

we are planning to fly to Shenzen from Malaysia (visa needed country), but we are planning to take the bus to Hong Kong on the same day or day after (depending on the availability of the ticket). Since we are not staying in Shenzen ,do we still need to apply for entry permit even for "transit"?