A few words on Line 11.
The wikipedia page has good information that is worth snapshotting (since access can be spotty inside China). I rode business class at all times to give myself some peace. It cost me about 24RMB each way from Futian (about 2X) but I always got a seat and often had a carriage to myself. You can't eat or drink on the train or in the station - since some of the trips are up to an hour, make sure you're comfortable before you head out. It's quite a long trek from the HQB area to the Bao'an markets, if you're an early riser it's great idea to leave early and arrive around 9:30 when things are just getting started. That way you spend the time on the train that you couldn't do much else with anyway. Another option would be to take a hotel in the Bao'an area, I stayed at the airport for one night wasn't cheap but was fine, Zhongtian Meijing Ramada seems like another viable option.
A few words on the last mile.
Getting from a station to a market can be challenging. As I see it you have five reasonable options - walk, bike, bus, taxi and scooter. The problem with taxi and scooter is that it might be hard to get back. I also had a negative experience with a scooter driver (not at one of the markets), the language barrier can make price negotiations hard. Bus is a fine option, you can use your metro card (or exact change?) to pay, baidu maps will help you determine where to get on and off. Walk is an ok option as there can be things to see along the way. Use baidu maps to make sure your path isn't blocked by a 8 lane expressway with no nearby overpass. Don't expect the walk to be pleasant, these are industrial areas, like anywhere in the world, they're not made for fun. At least you'll be sure to have somewhere to walk, wide sidewalks seem normal in built up areas of Shenzhen (unlike the US for instance).
My preference was to bike on mobike. Download the mobike app and get yourself say 20 RMB of credit (enough for 20 x 30 mins rides at time of writing). There are plenty of youtube videos on how to use mobike. Don't expect the ride to be particularly safe or pleasant but it should be fun and exciting. Just remember to be clear about where you are riding and watch out for where others are riding/walking. Like most of the world, people don't want to strike or cause inconvenience to each other, you'll need to be assertive and alert to maintain your space on the road/path though. Mobike has a nice little basket on the front for your backpack too.
A few words on supplies
I found finding food around the markets a little challenging but that might just be me. I anticipated this and brought a few cartons of granola/muesli bars with me from home. These were helpful in getting me an hour or two longer until I could get back to a more built up area with established restaurants. If you're comfortable with street food you'll find some but most people are eating at their stalls from food they brought with them or had delivered. Whatever you do, please be sensitive to local culture and don't walk around eating and drinking. I tended to head outside and squatted somewhere out of the way to consume my drinks and snacks. You'll find water for sale either in the market or nearby, bringing a water bottle is a good idea but don't expect to be able to refill it except from another water bottle (I kept a 10l bottle in my apartment room).
Pick up a usb backup battery in Shenzhen when you arrive - there's something about the busy nature of the cell networks in Shenzhen that seems to halve the battery life on phones. You'll see lots of people with their phones tethered to a battery in their pocket by the end of the day. Manage you battery life carefully, you don't want to end up in a remote market with no battery left to find...Read more »