I go to Shen zhen with my aussie passport and it costs $150Hk for the 5day visa, just went on saturday.
Visa price depends on where your from, they have a table on the wall at the visa office.
Bringing a pen will really help, as you can line up and fill in forms to cut down queueing time.
The visa office is a bit discrete. Once you pass over the bridge, go straight and look for the Elevators that go up on ur left.