Hi, you don't need visa both to Hong Kong and Macau. But, visa is required to Mainland China. If you just want to visit the special economic zone in Shenzhen, you could apply for the on-site visa at the custom port of Luohu to Shenzhen. But, please note that the office staff at the port may refuse your application for some cases, such as H1N1.

Or, you could apply a China Visa at the Office of the Commissioner of the Ministry of Foreign Affairs of the People's Republic of China in the Hong Kong Special Administrative Region. Usually, 4 days are needed. The office address is 7th Floor, Lower Block, China Resources Building, No.26, Harbor Road, Wanchai, Hong Kong SAR

So, the 100% sure is that you apply for a China Visa in China Embassy in your country. In this case, you could also visit other more cities of China.

As for the helicopter, the given price on the official website is about 2,300HK$~2,500HK$ from HK to Macau. But, some travel agencies may get a discount price. Just for your reference/

many thanks