This is the best website I've found so far. It has a lot of info about entertainment and restaurants, including a post from a little while ago about the best yoga studios in the city: http://www.echinacities.com/Shenzhen
Shekou does seem like a good neighbourhood, from everything I've seen so far. Lots of expats and stores/bars that cater to westerners. Luohu district also seems like a fun place to live, it has lots of shopping and nightlife.
Lovely to meet you. I'm so excited to go to Shenzhen in January! What kind of things are you interested in doing once we're there? I'm definitely looking forward to exploring the city and the surrounding parks, trying new food, and soaking up as much of the culture as possible. I'm also hoping I'll be able to find a good yoga studio, and a bar with live music. I'm originally from Hamilton Ontario, and am currently living in Toronto, where are you from?