Do I need visa?

No, this is not possible. The only way how could you organize your day trip, but only to Shenzhen or Zhuhai is to obtain a 5 day Shenzhen or 3 day Zhuhai visa on arrival. Also, when visiting one of these mainland Chinese cities, you cannot take a high speed train. You can travel by ferry or overland to several eligible border crossings. For example, to reach Shenzhen you can use Huanggang, Lo Wu (Luohu) and Shekou ports (the last being sea border crossings for arrivals by ferry) with opening hours from 09:00 until 16:30 where you will apply for a Shenzhen VOA. The price for Australian citizens is 275 CNY.

After your short or longer stay in Shenzhen, you can return by high speed train and, please, keep in mind that you are limited to just Shenzhen city boundaries.

VOA is definitely not a reliable option. To save your time & frustration, strongly recommend applying for China via from your home country if you really want to go there. We're Australian citizen's & carry Australian passports. We lost over $1,000 on travel booking fees as the on arrival visa office rejected granting our visa without providing any valid reason.