Macau to Zhuhai is the shortest. You can just take taxi or city bus to Gongbei Border and then pass the custom. You are in Zhuhai then. Zhuhai Jiuzhou Port has ferry to Shenzhen Shekou (80RMB), it takes about one hour. Jiuzhou Port is only 15 minute's drive from Gongbei. Gongbei Bus Station also have buses to Shenzhen (75RMB) which will take 3 hours. It costs the same time from Zhuhai to DOngguan.