Points For Travel Attention

Passports and passes: 

Although Chinese tourists require a special 'frontier pass' to enter Shenzhen, non Chinese do not. When you enter the Special Economic Zone (SEZ) by bus however, the local police and customs officers will board to check passports and frontier passes. 

If you travel through the zone by taxi, you have to get out of your vehicle at the border and walk through customs, picking up your taxi on the other side again. You may be asked to show your passport here and all this bureaucratism is rather time consuming.

Visas:

Visitors are permitted to stay in Shenzhen for 72 hours without a Chinese Visa. You are not however, allowed to travel elsewhere in the country and must stay within the city boundaries.

Currency:

Shenzhen operates a dual currency system. Hong Kong dollars and Chinese RMB can be used to pay for things, but only RMB is usually given as change. Most hotels change money and there is a money exchange bureau at the Hong Kong border in the train station.