Before you go, check this:
You have a passport, bring it
The passport must have at least one free page without any stamps
Your passport is not from one the following countries:
India Indonesia Philippines South Africa Turkey Special note, the above countries can not get the 5 day Shenzhen visa! The list is not complete, there are more countries that can not get the 5 day Shenzhen visa!
You need a passport picture now.