You can't not buy Shenzhen stocks unless you know some Chinese friends who can buy it for you under his name.
But if you are not trying to buy a specific stock, but just wants to invest on Chinese stock markets, you can buy mutual funds or ETFs managed by QFII(Qualified Foreign Institutional Investors) companies which invest on Chinese stocks. You can find some by googling.
Before buying, you can check their holdings to make sure it invests on Chinese stocks rather than Chinese companies in NYSE or NASDAQ. Ticker symbol for stocks listed on exchanges in Mainland China is 6 digits (no letters). A shares on Shenzhen begins with 300(for ChiNext), or 00. Code for A shares on Shanghai begins with 600. And for B shares（must be exchanged using foreign currency), it begins with 900. H shares is listed on Hong Kong not Mainland China, so you can buy H shares by opening an account in Hong Kong exchanges. You can also check whether the fund price and the indexes it claims to track change simultaneously.
And rumors say Chinese government will announce Shenzhen-HongKong connect in H2 this year, but I doubt ChiNext(where Baofeng is listed on) will be open to foreigners.