McDonalds has over 60 stores in Shenzhen so you don't really need to look far to find one. Sizes are smaller than in the USA (I think a good thing) and it's most often quite busy in McDonalds. There are very few drive-thru's (I believe they are experimenting in Shanghai with this concept), but there are quite a lot 24/7 stores and even some McDonalds that deliver food to your home. Don't forget McDonalds always has discount tickets on their website which you can print out (b/w of course) and enjoy a few yuan discount.

Address:

Everywhere: McDonalds restaurants list (in Chinese)