Get to Gongbei border from Macau by bus and find buses to Guangzhou at Gongbei Bus Station. It has many buses to Guangzhou every day， need 2-2.5 hours which depends the place you want to go in Guangzhou. Shenzhen is easy to be reached from Guangzhou. You can get bullet train in Guangzhou to Shenzhen Railway Station. It can take you to Shenzhen one hour later, faster and safe.