You can take ferry to Shekou from Macau Marine Ferry Terminal. The first ferry departs at 9:45am and arrive in Shekou one hour later. Shekou has Bus 113 to the Window of the World. You can use the subway to the shopping place you said in Luohu. I guess you mean Dongmen area? it can be reached at Dongmen Laojie station. use the same subway Line you can get to Luohu border, get around Luohu Commercial City. One day is tight. The last ferry back to Macau from Shenzhen leaves at 8:30pm. You can consider to go to Hong Kong from Luohu by train and then back to Macau. Or come back tracking the same way to Shekou.