Good day. I am a Malaysian with Malaysian passport (of course).

Just came back from Hong Kong yesterday. I only want to say that those with Malaysian passport can get the VOA in Luoho border (Lowu), and most probably the other borders into Shenzhen as well.

Just walk straight towards the immigration point entering Shenzhen via Luoho border. Before reaching the immigration counter, you can see a sign board hanging displaying two words which you can definitely relate to visa on arrival after a glance (forgot what was it.. sorry :/). Just head up the elevator and you will see it on your left :)