You need money, lots of money. The MTR is really expensive now, but unless you know how to take the bus, you're probably going to take the MTR and if you decide to go to Shenzen you'll need a visa, if you're not a resident of Hong Kong. There are some nice hot spring areas just across the border of Hong Kong in China. I'm going there during Christmas time, and I'll be going to the Hot Springs.
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