I think it is better to take ferry. Take airport bus to Macau Ferry Terminal and then take ferry to Shekou. It takes only one hour. If traveling by bus, you should take Bus AP1 to Barrer Gate and pass the border to enter GOngbei, Zhuhai. Take bus at Gongbei Bus Station to Shenzhen. The bus takes about 3 hours.

mr tang..better u used ferry coz i study from Google Earth map dat r easy used ferry from macau ferry terminal to shekou port terminal.