Sheraton Dameisha is not quite in the heart of Shenzhen, but it's a pretty nice resort with a waterslide that your kids might enjoy (depending on age). The Chinese food is reasonable in the hotel, you are within walking distance to a KFC & McDonalds (on emergency days that the kids insist on fries), and of course the hotel is right by beach and has indoor & outdoor pool. You could go to the Shenzhen Ocean Park, which is probably a 10 minutes ride or so by taxi from the hotel, and the OCT is in that area as well.
http://www.interlakenocthotel.com/ol...t/en/index.php you may consider staying there as well, or visiting (we haven't been there yet so no personal experience).
The zoo is decent, and have mini-shows to showcase the animals, but of course are in Chinese, I don't recall if there's an English translation. Our LO was exhausted by the time the finale show and slept right thru it (abt. 3 or 4 pm).
Windows of the World & Splendid China could be options as well, though honestly I wasn't impressed with Splendid China, the miniatures were just too laughable, looked like lumps of clay, but it was something to do, the shows were decent.
There is also another waterpark/hotel that heavily advertises around the Lowu area, but unfortunately I can't recall the name.
Hope this helps.