What must I do if I cross into China from Hongkong?

Philip, You can enjoy 10 days visa free transit in mainland China by taking a ferry from Hong Kong to either Shekou (Shenzhen) or Nansha (south from Guangzhou) ports. Just before your boarding the ferry to Shekou or Nansha, you will have to buy a ferry ticket from Shekou (Shenzhen) to Macau. Simply speaking, the immediate points before and after your mainland Chinese visit have to be in two different countries or eligible territories (eligible territories are Hong Kong, Taiwan and Macau). So, Hong Kong - mainland China - Macau is the way to go exactly in the order as I have explained. One more detail, you will really have to take exactly that ferry to Macau that you have bought your ticket for.

If you plan to visit Shenzhen City only, in that case your best option is to apply for a 5 days Shenzhen visa on arrival right at the border crossing. You are advised to use Lo Wu / Luohu border crossing and to arrive there at least at 08:30 because Luohu visa office opens at 09:00. It is better to arrive there in the morning in order to avoid major queues.

You will bring your valid passport and you will fill out the relevant form at the border crossing. You will take a photo in the same place and pay affordable fee of 130 CNY by card. All major cards are accepted. After the visa is issued, you can proceed into Shenzhen, but keep in mind that this visa limits you to Shenzhen city limits only.

After you are over with your visit to Shenzhen, you can return back to Hong Kong by taking any border crossing you want and also any mean of transport, high speed train from Shenzhen to Hong Kong West Kowloon station included. Have a nice journey.