You don't need a visa to Hong Kong or Macau, just bring your valid passport, the flight tickets. The residence permit on your passport are helpful for you to return to Mainland China, the immigration officers of Hong Kong or Macau won't afraid that you will overstay.

As I know, the Z-Visa is valid for 3 months for a single entry with no specified duration of stay. One is obliged to apply for residence permit at the local public security bureau within a month after entering China. If you have not got the residence permit, please don't exit Mainland China.