Well, for saving money, please follow this way: HK->Shenzhen->Xiamen

HK to Shenzhen: you could take bus or metro from downtown HK to arrive at the Luohu Port directly. Walk through the port, you will enter into Shenzhen
Shenzhen to Macau: just beside the Luohu Port, you could find the Luohu Bus Station where you could catch a bus to Macau via Gongbei Port at Zhuhai. The journey is about 3 hours and takes 95RMB.

From Shenzhen to Xiamen, you could take a bus at Futian Bus Station. The bus leaves at 09:00 everyday, taking 11 hours on the way. The ticket fare is about 185RMB. Otherwise, please fly to Xiamen directly.