Take a taxi to The Panglin Hotel, go across the street towards SEIBU department store. Walk towards the back of SEIBU, it should be a 2 lane, 2 ways street. Bigger than an alley but not a main street. You will usually see a lot of girls sitting on the wall on your left (After 9pm) and a lot of pimps will come to you to see if you want girls. If you walk a little farther You will see a few small out door restaurants on your left side. Pass these until you see an alley on your left side with bars across it to prevent car and bikes from entering. Go into this alley, go into alleys 2-5 on your right side. There are a lot of girls in these BBS that will try and pull you into their shop. The cost is 150rmb if you do the girls in their room upstairs and 200rmb to bring them back to your hotel.
There will be a bunch of pimps handing out name cards but these are the same girls that you have seen except you will pay more for pimp's commission.
You should consider staying in LoWu area, there are a lot of pretty cheap hotel room around 250-300rmb per night.
Here is the address to Panglin in Chinese, you should print it out and show it to the taxi driver. They should all know where it is located.
彭年酒店
深圳市罗湖区嘉宾路2002号
Hope this helps.