It seems you need a two-time entry visa. On-site visa is available in Shenzhen borders. It is convenient to go to Shenzhen by bus from Hong KOng. From MAcau to Hong Kong, most of the people choose to take ferry, which only need 40 minutes. From Shenzhen to Macau, suggest you take bus, it seems cheaper. From Futian and Luohu bus stations, you can find buses to Gongbei border and after passing the border, take bus to Macau center area.