Of course it should be by bus. At the Provincial Bus Station of Guangzhou (to the west of Guangzhou Railway Station), you could catch a bus to Zhuhai Gongbei Bus Station with a fare of 65RMB from 06:30 until to 21:00. The journey is about 3 hours. Get off from the bus, you could walk to the Gongbei Customs Port easily. Go through it, you will enter into Macau~