From HK to Shenzhen

Has anyone crossed the border from HK into Shenzhen? Are travel permits for visiting Shenzhen still available at the border crossing?

I think it depends on your nationality. Specifically, when I went to China last year, such permits were not available for British citizens. In that case, you can get a visa in Wanchai or through a travel agent (see relevant threads on Forumosa.)

I had no trouble… with my Oz passport (don’t think it really matters, actually).

Just catch the train to the border and then get in line with the 947, 335 other people, to pay for your 5 day visa.

Getting from HK airport to the much cheaper Shenzhen airport is easy. As you enter the main arrivals terminal, straight ahead of you will be lots of counters selling tickets to the border by bus for 100HK$. Visas are also available from most counters but may be a lot more expensive than downtown - still cheaper than going downtown, applying, hanging around spending money and then getting back northwards into the New Terrorities!
A ferry service is available from inside the terminal (before going through HK immigration, I understand) and delivers you Guandong.

I want to clarify this. Is there really a ferry accessible from inside the HK International Airport before entering immigration that takes you directly to Guangdong? Do you mean Shenzhen in Guangdong? Is that the ferry terminal nearby the Shenzhen airport?

Yes. It’s popular with Taiwanese businessmen going back to work. Check out the HK airport website page detailing it

Remember you must have a visa in advance.