You do need visas and you can get them at the border. Cost is $150 for Australian passports.
You can get there by MTR/KCR.
Take the MTR to Kowloon Tong station and then the KCR to Lo Wu station. Or you can get on the KCR from Hung Hom Station in Kowloon.
A couple of things, don't carry a lot of cash, leave the credit cards at home and don't wear any jewelry.
Rani