You can not get the 5-day Visa in Lok Ma Chau (Fútián / 福田) or Shenzhen Bay (Shēnzhèn wān / 深圳湾) border checkpoint! Don’t go there without visa! There are no other visa types available there. You will be send back to Hong Kong! You can get them at Lowu and Huanggang. However, if you entered with the 5-Day-Visa you can exit here, or any other Shenzhen to Hong Kong border with no problem.
The easiest border to cross into Shenzhen is probably Lowu (Luōhú/罗湖/羅湖). It can easily reached by MTR (subway), in fact, Lowu can only be reached by MTR from Hong Kong. The border is open from 06:30 in the morning until midnight 00:00. The visa office is open 07:00 to 23:30 Procedure: Take the MTR from anywhere in Hong Kong to Lowu In Lowu, leave the MTR and go to Hong Kong immigration to exit Hong Kong After Hong Kong immigration follow the flow of the people over the bridge (about 100m) When you enter the China immigration building, go straight past the escalator down.