A word of caution: be safe and protective at all time while in Shenzhen. This city is like the wide west with very little rule in modern societies. A simple crossing the road may get you killed, even if you follow the traffic light. This would be an adventure in a different kind. My friend from the US loves going there for the following, almost like a ritual. This may serve as a guide for you to consider:

1. Foot and body massage - break it down to 1 hour foot and 2 hours body. The cost is HK$100 for 3 hours. You can get that from Lo Wu Commercial Center, 2nd or 3rd Floor, on the North side. The place may look a bit run down but the people working there are quite good.

2. Late Lunch at the dim sum restaurant - I think it is called Den Gu Hin. They have the same restaurant at LWCC 5th floor but don't go there. It is almost always crowded. Ask for direction to this main one is fine over there though. Go to the one the second floor of New Capital or Shin Tao Hotel that has a HSBC branch there. The restaurant is on the mez. floor. The food is always good and the atmosphere is relax and enjoyable. Good service too! The walk from LWCC to this restaurant takes about 15 minutes and you can sample the taste of Shenzhen. First, go pass Shangri la hotel,and walk straight or just ask any HKer's of the location of the HSBC.

3. Look around for all kinds of DVDs, CDs, and stuff like that. The cost may varies but usually at around HK$10 per piece. Other than that, not much worth to buy. Leave the shopping in HK, better quality and variety, and price too.

4. If you are a real adventure type, go walk around the big shopping place called Dong Mun. Women like to shop so you cannot get away from it. It is about the same distance from LWCC to the restaurant. All the way straight along that road to the end. But be careful of the traffic. They are just unpredictable. Better take a taxi from the hotel front. Then walk back to the train station.

Remember, Shenzhen Lo Wu is the cross road from the modern to medieval world. This is a new town, a big one with many nice skyscapers and nice roads but little civilized rules that you may get used to. Leave all valuables in your hotel safe, including credit cards.... before departing. Shenzhen accepts HK dollars so no need to change for YMB. That save you from those "switching money" plot. (The girl may hold on to your money and then say it is fake, please change it to another one but in fact she had secretly replaced the real one with the fake one. That happens all the time, even in Taxi or hotel...) That sums up my friend's ritual tour. The better part is that you are not a US person so you can actually just get the 5 days visa from Lo Wu Immigration, right after going through the HK immigration. They had specifically denied this right to US persons.