I was in Shenzhen for close to a week, visiting a friend there who is a student and Shenzhen University. He speaks fluent Chinese. That is important, unless you speak Chinese, or are with someone who does, you will pretty much be relegated to expensive hotel sex. All of my experiences I am about to share occurred in Nanhai district of Shenzhen about 30 minute cab ride from Lohue train station.
1) There are barber shops with girls working, spread out through the area. You will probably not find one unless you speak Chinese. Several are within walking distance of the west entrance of the university. Price is 130 RMB for sex--30 to the house and 100 go the girl. There are usually 4-12 girls working in these establishment...some of the girls are very, very attractive. Most are 25 and under, a few older ones. The sex is very mechanical, and no blow jobs from most girls. You can take home from 2AM-6AM for 200 RMB for the girs and 50 RMB to the house. You'll get two cums for 6AM, whichever comes first. Generally, the sex from these girls isn't that good.
2) KTVs. There are many, but you need to speak, or be with someone who does. If you're brave, maybe you could try to find one on your own with a good cab driver. Expect to pay 800-1000RMB in a KTV. You have to buy your self and the girls drinks, and then the girl herself is anywhere from 400-800 RMB depending on her looks. You take her back to where you're staying. She may stay for the night, she may stay for one cum. Sex is usually OK, not as mechanical as
3) Street walkers. There are residential areas where you will see streetwalkers after 10PM. Never tried them, but was tempted because a few were hot.
Basically, if you speak Chinese, or have a close friend that does, you can have fun and cheap time.
In general, girls don't give blow jobs. In generals