Shenzhen Airport has shuttle buses to Macau. It is convenient but there are only 3 or 4 buses a day. Taking a express ferry from Shenzhen Shekou is the most shotest way. There are buses available every half a hour in Luohuo of Shenzhen. Shenzhen has a lot of hotels. If you do not want star hotels, Rujia and Jinjiang Zhixing are also good choices to stay.

The best way is travel from Lohu to Hong Kong by train, it doesn't cost much. Then from Hong Kong take the hydrofoil (high speed boat) to Maccau, about HKD300 return. Make sure you have visa to enter China.

If your landing point is HK & do not plan to spend time there, you may just take ferry from HKG Airport without going through HK immigration. The ferry is directly transporting you to SheKou Pier of ShanZhen. Same Pier would allows you to take ferry to Macau as well.
Much easier if your landing point is ShenZhen BaoAn Airport. Taxi fare around RMB120 should take you all the way to LuoWo distric, where most shopping & eating area are located at. For better budget, take coach bus RMB20 to LuoWo, then get a taxi with much lower fare to continue trip to your hotel.
If you like shopping(which most ladies loved to), go to DongMen shopping area for fantastic bargains. For eating, XiangXi Lu(XiangXi Road)is loaded with restaurants.
ShenZhen is quite a safe city, as long as you try to avoid quiet alleys, and not exposing cash & valuable items to public eyes. These are the basic safety precaution when you walk on the streets, even in your own country.
Enjoy your stay in ShenZhen, which I never failed to do so.

Hi Ms.Stella, from HK to Shenzhen it is best to take the train (MTR) and cost $36HK so it is cheap. and this takes you to Wo LU, station in Shenzhen. i stayed at bestwestern Felicty hotel that you can get on wotif for 70 - 80 US good place. Also shangrila which you can see from station and walk to both, very close. Dont let anyone carry your bags at station. wo lu is shopping place for tourist, but if you get time explore it is great place. i am heading back soon!

The best way to travel is by buss in my opinion.

Does your flight lands in HK and would you be staying over. There are jetfoils that travel between Shenzhen and Macau, for about RMB120 each way. If you land in HK and stay over I suggest train to Shenshen and walk over to the Felicity Hotel about 500 yards away from the immigration checkpoint. In between these two places there are coaches going Macau, but because of the rivr and bridges et al, takes about 4 hours -- but about RMB60. Give me a bit more info and I could suggest a very good itinerary. Have fun.