I went to Shenzhen in Dec (04), and US passport holders needed a visa before they got to Lo Wu.

To get the visa in HK, you (or your hotel's concierge) would need to go to the Chinese gov't office that issues visas. I don't know if they are open on Saturdays and Sundays, but you might try either finding a web site for that visa office or contacting the concierge of the hotel where you're staying.