I have a Q2 Visa issues in HK. Can I renew it in Shenzhen?

My current visa is due in exactly one month from now. My wife is Chinese and last time she contacted an agent to help us with the paperwork. Any how, before that I had had 3 one-year residence permits and, the last time I went back home I entered China on a working Z type but later we decided to move back to Shenzhen where I've been studying Chinese so I had to change my visa.

Bottom line is: I want to either renew my visa or apply for a one/two/five-year residence permit.

I've been searching for official information related to this in Shenzhen but all I found was this website.
If I can do it in Shenzhen, where can I go to or how can I contact the foreigner's entry and exit bureau?