yeah. almost impossible to do it in a day from Shenzhen. You need to allow at least 2-3 hours, as the immigration line can be very long sometimes. You can also take one of the slightly more expensive vans from the Shenzhen airport. I did this last time and its faster: you dont line up with everyone else, the van goes thru the gates, you sit there, the driver hands in your passport for you. But we still waited in line for at least 45 mins.
@Vincent: how about flying direct into HK? I know Brendan always flies direct. I think he found good deals. Is it really so much more expensive? Last time from HK to here was about the same cost, when i factored in the cost of getting to Shenzhen airport. And also much easier.
Last time in HK i got the hell out as soon as my visa arrived (even tho i’d paid for another night in the “hotel” (a guy’s converted office). Is it just me, or is HK much more expensive than a few years ago?