24hr or less stay in Shenzhen.

Actually, this is not a problem. You will apply and obtain a 5 days Shenzhen visa on arrival at one of three available border crossings: Huanggang, Lo Wu (Luohu) and Shekou. In other words, you cannot take a high speed train from Hong Kong directly to Shenzhen, but just across the three border crossings I have mentioned. Probably the most practical in your case is Lo Wu because you can easily reach it by local train and then cross the border on foot. At the mainland China side you will apply for 5 days Shenzhen VOA where you will present your passport and if you intend to have an overnight its is advisable to present your accommodation booking confirmation. Also, the price for this visa is 275 CNY. Beside the mentioned, you do not need anything additional.

You are advised to arrive at the border crossing a bit before the opening of the visa office at 09:00 because of quite congested situation because this type of visa is in a huge demand. If you want a more comfortable way to obtain the visa, then I suggest you to take the first ferry from Hong Kong to Shekou and to obtain a visa there. Please, be informed that visa offices close at 16:30.

When you are over with your visit to Shenzhen, you can return by taking any border crossing and any mean of transport and here a high speed train is probably the most convenient.