There are three must-go shopping places in Shenzhen, first LouHu commercial center, Dongmen and China South City.
LouHu commercial center is right by the train station outside the Luohu Immigration control point. It is known in hong Kong andGuangdong for shopping.There you can find lots of freak designer items that looks really real in a really cheap price, but I would still suggest you to bargain!
Then you can go to China South City, It is like 30 mins away from the Luohu commercial center, but theres free shuttle bus that you can get there and come back through out the day. I recommend you to spend half a day in China South City, just to go shop and eat. Its a shopping place where you can various of gifts, souvenirs, fashionable clothes, shoes in a really cheap price but good quality. Food there is pretty good to. After shopping, you can also enjoy a foot and body massage.
Then you can take the subway to Dongmen, Dongmen is another popular place for local where you can find lots of fashionable clothes and shoes. Dongmen is usually filled with people tho be careful with your bags and pocket. But generally its a good place to shop. Last time I was there, I bought four pairs of shoes and i loved it. hahaha hope this helpss! :)