only fly in and fly out shenzhen for 4 days visit

Yes, you do. Simply speaking, your itinerary is not eligible for any kind of visa free transit and VOA too. You are transiting through two Chinese transit zones in a row and that is not allowed, you also plan to travel on domestic flights and you are not in a transit. I'm sorry, but you will have to obtain a Chinese tourist (L) visa in advance. Assuming that you are a UK citizen, you should keep in mind that you are eligible for long term (multi year) multiple entry visa, but you have to ask for one at the time of your application. You should argument your request by saying that you plan to travel to China quite often in the near future.