Macau->Zhuhai: go through the Gongbei Port on foot
Zhuhai->Shenzhen: take a bus at the Gongbei or Xiangzhou bus station to arrive in Shenzhen in 3 hours.
Shenzhen->Guangzhou: take a bullet to arrive in Guangzhou in 70 minutes.
Guangzhou->HK: take a train from Guangzhou East Railway Station to reach Hung Hom, Hong Kong in 2 hours.

wow.. from Zhuhai to Shenzhen need to take 3 hours. it is really far. Is my destination sequence correct? Or is there any other sequence in order to reach to Macau, Shenzhen, Zhuhai, Guangzhou and Hongkong?

Well, I think you could change the itinerary to: Macau->Zhuhai->Guangzhou->Shenzhen->Hong Kong->Macau.

The buses from Zhuhai to Guangzhou only takes 2 hours on the way. And, you could also use train from Guangzhou to Shenzhen in 70 minutes. From Shenzhen to Hong Kong, you just have to walk through the Luohu, Huanggang or Shenzhen Bay port.