u dont need a return ticket, just some proof that u will leave China when your visa (L ) expires. So can just buy single to China and single out ( examp. HK- Bkk, or any other cheap flight u find on Air Asia ) .
When I mailed to Uni 2y ago about same thing, I got same answer. Shenzhen Uni. When I arrived, new visa policy was just introduced and made a hell of problems for many people coming with L visa, like me. Some had to go to HK re-apply with all documents obtained from school, some of them ( like Africans ) had to return to their home country and apply trough the embassy . I was explained that time, that new policy means : The way u come IN that way u come OUT ( means type of visa ) . Cant be changed inside of country, except special circumstances .
I was still allowed to change it in SZ as Im EU citizen with note to hurry up, coz in 2 months time, that option will be close completely for anybody.

I was recently asking in Yunda,for my friend who wants to come over study about changing L-X. They said no problem. So I guess that policies, like in all China, work bit different way in each province.
However, u might be a bit under pressure coz u need health check ( not sure how long takes here to get the card/paper ) and confirmation of residence ( place u would be living ) from police station near to your apartment. That procedure depends how fast u manage to get a place to stay and get somebody with renting contract or ownership of the apartment and go with u to that police station. Once u have all papers done u r OK,give all stuff to school's Visa section,once they bring it to emigration, u r covered . They say 3 weeks min before visa expires, but I now people did 2 days before and still got away with it .