TomKeddieA few words on Line 11.
The wikipedia page has good information that is worth snapshotting (since access can be spotty inside China). I rode business class at all times to give myself some peace. It cost me about 24RMB each way from Futian (about 2X) but I always got a seat and often had a carriage to myself. You can't eat or drink on the train or in the station - since some of the trips are up to an hour, make sure you're comfortable before you head out. It's quite a long trek from the HQB area to the Bao'an markets, if you're an early riser it's great idea to leave early and arrive around 9:30 when things are just getting started. That way you spend the time on the train that you couldn't do much else with anyway. Another option would be to take a hotel in the Bao'an area, I stayed at the airport for one night wasn't cheap but was fine, Zhongtian Meijing Ramada seems like another viable option.
A few words on the last mile.
Getting from a station to a market can be challenging. As I see it you have five reasonable options - walk, bike, bus, taxi and scooter. The problem with taxi and scooter is that it might be hard to get back. I also had a negative experience with a scooter driver (not at one of the markets), the language barrier can make price negotiations hard. Bus is a fine option, you can use your metro card (or exact change?) to pay, baidu maps will help you determine where to get on and off. Walk is an ok option as there can be things to see along the way. Use baidu maps to make sure your path isn't blocked by a 8 lane expressway with no nearby overpass. Don't expect the walk to be pleasant, these are industrial areas, like anywhere in the world, they're not made for fun. At least you'll be sure to have somewhere to walk, wide sidewalks seem normal in built up areas of Shenzhen (unlike the US for instance).
My preference was to bike on mobike. Download the mobike app and get yourself say 20 RMB of credit (enough for 20 x 30 mins rides at time of writing). There are plenty of youtube videos on how to use mobike. Don't expect the ride to be particularly safe or pleasant but it should be fun and exciting. Just remember to be clear about where you are riding and watch out for where others are riding/walking. Like most of the world, people don't want to strike or cause inconvenience to each other, you'll need to be assertive and alert to maintain your space on the road/path though. Mobike has a nice little basket on the front for your backpack too.
A few words on supplies
I found finding food around the markets a little challenging but that might just be me. I anticipated this and brought a few cartons of granola/muesli bars with me from home. These were helpful in getting me an hour or two longer until I could get back to a more built up area with established restaurants. If you're comfortable with street food you'll find some but most people are eating at their stalls from food they brought with them or had delivered. Whatever you do, please be sensitive to local culture and don't walk around eating and drinking. I tended to head outside and squatted somewhere out of the way to consume my drinks and snacks. You'll find water for sale either in the market or nearby, bringing a water bottle is a good idea but don't expect to be able to refill it except from another water bottle (I kept a 10l bottle in my apartment room).
Pick up a usb backup battery in Shenzhen when you arrive - there's something about the busy nature of the cell networks in Shenzhen that seems to halve the battery life on phones. You'll see lots of people with their phones tethered to a battery in their pocket by the end of the day. Manage you battery life carefully, you don't want to end up in a remote market with no battery left to find your way back. Consider taking screen shots of the maps so you can navigate in airplane mode as a last resort. Remember cell phone networks aren't always reliable and, like anywhere, cell reception can be spotty in parts of Shenzhen. You can often charge at a restaurant when eating your lunch too (if you can find one, as above).
You'll need a sim card. As Ian wrote your best option is a Hong Kong/China cross border sim card. These seem to give you an ip address in Hong Kong which lets you get around the firewall somewhat. You can buy them in the Hong Kong markets or on ebay. You can't buy them in China. Get one with lots of data, you'll be using it as your primary internet access - I burnt though 3Gig in 9 days. Roaming on your home provider also seems to work but can be expensive of course. Don't expect wifi outside of your accomodation - unauthenticated wifi isn't legal in China, western chains like McDonalds or Starbucks will all require a chinese phone number and/or chinese id number to access the wifi.
A few words on the markets.
To me these markets are much more interesting than those clustered around HQB. They seem to be mostly targetted at serving the factories in the local area but I'm sure most of these stalls service taobao stores too. You don't find a lot of finished products at this, they're mostly parts and some tools - electronic, industrial control, mechanical and assembly line parts. There are a sprinkling of SMD components but they're not the focus. You won't find software related stuff like devel boards or assembled pcbs for hobyists - these are industrial markets.
The scale of the Depp Market is massive. If you look at the map images you can see this - each booth is about 6'x12'. Give yourself a few hours at each. They're laid out for grid walking so start in a corner and work the whole space. I tend to walk the whole space completely north-south, then start again east-west. All of the stalls have an address eg. E118, you'll find this on the map, on the front of the booth and on the business card. The sequence is not always logical, probably because of the way the markets were built. Try to learn the chinese characters for man and woman so you can locate the correct bathroom, they're usually at the back nearly the elevator (men follow your nose, then hold it).
If you see something you want, consider buying it right there and then. At the very least take a photo of the display with the business card readable so you can find it again. People will want cash or wechat payment. Unfortunately wechat payment is challenging for foreigners so you'll need cash (there are usually atms around). People are generally friendly, you can point to something, they'll use a calculator to determine quantity and will usually give you a per item price. The prices are fixed, these aren't places to bargain. You'll get a good price upfront. Usually you can buy just a few but often they'll want to sell a bag or a tray. Don't be intimidated by this, the prices are often so cheap you can get 100 of something for what it would cost for 10 in the west - buy some for your friends. If things get complicated, switch to wechat (way-shin in mandarin) and chat to them in english, they'll long press on your text and press translate, then they'll respond in chinese characters, you long press and press translate and boom, you have a conversation. Try to learn the speech to text features of your phone, this makes the process much faster. Thing of the environment and refuse as many plastic bags as you can.
The markets can be chaotic places, try to keep out of people way - especially around the end of the day when people are frantically packing the sales of the day and couriers running from stall to stall collecting them. Lunchtime is also busy with food couriers dropping off food and people eating in clusters. Be friendly - people eat, sleep, parent and live in these markets (you'll see tons of preschoolers). Even if you speak no chinese languages a smile goes a long way, it won't always be returned, people are busy and working hard to keep their customers happy.
Realise that chinese people access these markets in a different way to hobbyists - chinese customers know what products to buy and where they like to buy them. We're trying to learn what products are available and don't really care where we buy them. You'll frequently get the question "what do you want" or a variant, just smile, they won't be surprised you don't speak a chinese language (unless you're of chinese descent which is going to be confusing for them but probably not surprising).