A day trip to Shenzhen from Hong King,

Yes, you need a visa and you can obtain it right at the border crossing, preferably Luohu (Lo Wu) that you can reach by urban train from the center of Hong Kong. Opening hours of Luohu visa office are 9:00 - 16:30, but you are advised to be there at least at 08:30. All you have to do is to bring your passport, to fill out a form you will encounter at the border crossing and to pay a 130 CNY fee by your card. You have to be aware that this visa allows you to move exclusively within the Shenzhen city limits.