If you're Asian, for ST, the place to go is Sha Zui. Sha Zui probably has the best selection of girls in the city. If you're not Asian, the local security guards will follow you around and harass you so I wouldn't really recommend it. Another thing, Sha Zui is in Futian, so if you're staying in Luohu, it's almost a 30 minute cab ride.
Another popular place is BEHIND the Shangri-La. Near the subway station near there, there are lots of mamasans hanging around. They'll take you to some apartments about 5-10 minute walk from the subway station.
Yet another place is behind the Jusco shopping mall. The Jusco shopping mall is at the Ke Xue Guan stop on the subway. Go to the South Eastern end and walk south along the road until you see the 7-11. Then walk through the alleys behind the 7-11. You'll see a bunch of shops with girls sitting around.
There's another dozen places spread throughout Shenzhen. Shenzhen though, pales in comparison to Dongguan.