In Hong Kong for 4 days, want to visit shenzhen for one day

Your best option is to rely on 5 days Shenzhen visa on arrival that you can apply for and obtain right at the border crossing between Hong Kong and mainland China. The easiest option is to take a train from Hong Kong to Lo Wu border crossing and from there on foot to Luohu crossing (mainland Chinese counterpart crossing) where you will apply for this visa at Luohu visa office. The price of the visa is 130 CNY and the payment is in cashless form (you will use your card). Upon arrival at the border crossing you will fill out the form, the officials will take your photos and after a processing you will be granted Shenzhen visas. You will cross into Shenzhen and explore and stay there for as long as you wish, but you cannot exceed 5 days. After your visit to Shenzhen is over, you can return back to Hong Kong by taking any border crossing you want and any mean of transport, direct high speed train included. By the way, you cannot rely on 24 hour visa free transit if you travel from Hong Kong to Shenzhen and back. 5 Days Shenzhen visa on arrival is the way to go.