You can buy a five-day Shēnzhèn-only visa (¥168 for most nationalities, ¥304 for Brits; Chinese cash only) at the Luóhú border (7am to 11.30pm), Huángǎng (9am to 1pm and 2.30pm to 5pm) and Shékǒu (9am to 1pm and 2.30pm to 5pm).

At time of research, US citizens were eligible to get the five-day visa, but the cost (over ¥900) is steep, so it makes more sense to organise a tourist visa in advance through the normal channels.