Hi, Norvan, No need to make a transfer at Zhuhai, you can go straightforward from Shenzhen to Macau:
1. Shenzhen Fuyong Ferry Terminal which is just 5 minute's drive from Shenzhen Airport with free buses shuttling between the terminal and the airport. It has ferry boat to Macau at 10:30, 13:30 and 17:15. The arrival halls of Shenzhen Airport has buses to Qiguan Bus Station at Gongbei Border. Then you can change the city bus to Macau after passing the border.
2. If you depart from the city center, you can get to Luohu, Futian or other buses stations to find out the regular buses to Gongbei and then get to macau.
Hope it helps.