Mr.song,
You can either take ferry or long distance bus to Shenzhen from Macau. The boat is faster than the bus. It takes around 1 hour and 15 minutes by boat. If you take the bus, you need more than 3 hours.

Boat: go to Macau Maritime Ferry Terminal to take ferry and the boat usually arrives at Fuyong Terminal in Shenzhen. It costs MOP 180 to 200.

Bus: You need go to Gongbei first, pass the border and then take long distance bus to Shenzhen.

From Shenzhen to Zhuhai, you also have two choices: boat or bus.

Boat: go to Shekou Terminal to take ferry. It takes around an hour.
Bus: take long distance at Luo Hu. It takes more than 2 hours and costs around CNY 75.

If you are in Luohu area, better take the bus because you need around one hour to reach Shekou Terminal. If you are in Nanshan area, you can take ferry because the terminal is located in Nanshan area.

You can take ferry at the Macau Ferry Terminal to Shenzhen Fuyong Ferry Terminal, Fuyong Terminal is very close to the Shenzhen Baoan Airport, you can take the Airport Shuttle Bus to downtown Shenzhen.
For the trip from Shenzhen to Zhuhai, you can take bus near the Shenzhen Railway Station, you can also take ferry at the Shekou Port to Zhuhai Jiuzhou Port.

hi mr. liu.. what number of long distance bus from gongbei border to shenzen. I will stay in Prince inn hotel near Lou hu station, is there any direct bus service from gong bei to louhu? thanks

Actually, long-distance bus don't have a number.
But don't worry, there is direct buses from Gongbei to Luohu. It departs from 0700-2130 every 15 minutes.