Daytrip to Shenzhen from Hongkong - Visa on Arrival or 24h Transit Visa?

You will have to apply for Shenzhen visa on arrival because there is no other option that you reach Shenzhen directly from Hong Kong. This is not such a problem because there are several border crossings eligible for issuing VOA and in your case the most practical are: Luohu (Lo Wu), Huanggang and Shekou port. The first one is the most frequented because you can reach it by local train and after you enter mainland China, by metro. The second one is practical if using cross-border direct buses and the third if you prefer to take a ferry from Hong Kong to Shenzhen. Waiting time depends upon the number of visa applicants and honestly speaking, it's hard to predict the waiting time, although usual waiting time is somewhere between 10 and 30 minutes.