If I fly into Hong Kong, then take a plane/train to Shenzhen, how do I obtain the 72-hour visa?

There are no flights between HongKong and Shenzhen and there's no 72h twov at Shenzhen.
You can either fly into Guangzhou and use the 72h twov to travel to Shenzhen (but you can't fly back to HongKong from Guangzhou) or you can apply for the 5 days Shenzhen VOA, but this visa depends on your nationality.