Work visa (Z Visa) is required to work in SZ, your SZ employer should be able to apply for this for you or you could try getting a regular Business Visa (F Visa) which is what I had before, technically its not the correct way to do it but less hassle
Where about in SZ are you planing to work, mid level to lo wu should take you close to 1.5hr one way (incl passport control on SZ side), you will need to fill in the damm arrival and departure forms every day, your passport will fill up very fast, remember to draw boxes on passport pages so the China immg staff can chop properly, you can fit 4 days (return trip) chops in 1 page (8 chops)
Procedures of apply for work visa in Shanghai, Shenzhen, Beijing, Hangzhou China