I found and booked this place via the cTrip website and it seemed to be a reasonable compromise between price and comfort at just under 200RMB ($31AUD) and still in the Nanshan District of Shenzhen. I stayed here just before heading over to Hong Kong.
The place isn’t really close to anything, but at the same time it’s not too expensive to get a taxi to anywhere you need to go. If you after reasonable budget accommodation in Nanshan it’s probably worth checking the rates.
The place is starting to show its age but for a budget price it passes ok. The rooms are kept clean, but the carpets in the room I had graced a few stains. Otherwise everything works, the shower is clean, plenty of pressure and hot water and free toiletries included (toothbrush, soap, comb, etc.).
The building also has a KTV (like a karaoke bar) on 4th floor if I remember rightly, and it gets noisy, particularly on a Saturday night. Get a room on the highest floor possible!
The free breakfast buffet is acceptable and I even found some english magazines to read there while munching my way through the toast and small selection of dim sum. The restaurant serves both western and chinese dishes.
The staff are friendly, helpful, some speak english and they also held my luggage for several days while I was in Hong Kong for no extra charge. The service made the hotel a good experience.
Chinese address for the Orient Sunseed Hotel
Map Location of the Orient Sunseed Hotel