I see what you're saying - as the distance from the Lo Wu crossing to Nanshan was relatively significant (though, an interesting and cheap Didi ride nonetheless). I ended up taking the MTR as I didn't want to commit to any timings - slowest part was Foreigner immigration as there were only two officers processing folks, and it seemed like visa free processing is a bit slower than others (mine wasn't that slow as I had a visa). Regardless, an interesting way to enter Shenzhen.