I worked extensively in Shenzhen (though it was a breath of fresh air to get back to the states), and it is a great ecosystem but I do want to address something not covered in the documentary. Their are a lot of things you need to be careful about before venturing into the wild west of electronic parts that is shenzhen. First, knowing some Mandarin or having a native speaker with you is definitely a requirement. Most big companies and vendors have english speakers working for them, but thats the exception.

The work mentality there is to get as much done as quickly as possible. Short cuts are the norm, which is frowned upon in North America, and you have to watch your suppliers and make sure they don't screw you over (ex. replace your requested part with a similar one or get you a cheaper part without checking with you and put the difference back in their own pocket). This even happens in the prototyping stage.

And as cheap as building stuff is there, living is still comparable to most US cities when it comes to good housing (ex. Austin, Portland, Denver).

With all that said, things move crazy fast. You put a circuit board order in on Monday and its on your desk on Wednesday.