Yeah, most people go to Shenzhen just to eat and shop. The attractions there aren't really worth their admissions.

I'd get a hotel near the LoWu area for first night. But I'd leave early next day and head to Shekou to take the ferry to Macau immediately. There are more to see and do in Macau than Shenzhen. The Shekou-Macau ferry isn't that frequent. Or you can take the cheaper and more frequent Shekou-Zhuhai ferry and then go across to Macau via Gongbei.

For getting around, you need someone (your friends in Hong Kong, your hotel, etc) to write your destination in Chinese so you can show to taxi drivers. Taxi drivers there won't speak much, if any, English.

I don't know about visa-at-border situation for your nationality, or if such is available for Gongbei; but if you just want to say you've been to China, you may just want to go to Macau and then cross the border at Gongbei into Zhuhai.