Which is the faster and cheaper way to deposit/convert Bitcoin into Wechat pay wallet (in local currency)?
Check on localbitcoins. There is lots of advertisements for these kind of trades. You could consider changing first into alipay, then into wechat wallet CNY if you cannot find any direct deals. AFAIK you can also recharge with your CC so that's another option.
An example of an ad that offers such services:
https://localbitcoins.com/ad/339629/cash-out-your-bitcoins-wechat-pay-walletHope this helps