There are five or even six pairs of train per HOUR running between Shenzhen and Guangzhou East throughout most of the day. Get your ticket at the machines just outside the station, or better still, walk straight up to the new Smart Gate if you have any UnionPay QuickPass credit/debit card, or Alipay on your mobile. They need your real name, so a form of ID is needed. Place your UnionPay card on the reader (or scan Alipay QR code), and if you are a first time user, place your ID on the reader to "link" your ID to the card - this only needs to be done once. In a few seconds the gate will open. Fare is debited when you scan your credit/debit card at the exit gate at your destination.

What is not too obvious is that a small stub of paper will appear at the far end of the gate - this is where your seat number is printed. They seem to assign seats sequentially from the end of the train. Here's a tip - if you find your section to be crowded, walk forward and you'll usually find a car with almost no other passengers. Train conductors are completely OK for you to move to another seat.