It is unbelievably easy to return to the HKIA from Macau via ferry and very advisable. You even get a tax refund on your ticket when you arrive in the HKIA. When you purchase your ferry ticket, you must show your airline ticket, in order to prove you are flying that day. This is because you end up inside the airport after going through security and technically never enter HK. You do not need to fill out the HK entry form since you are just staying inside the secured part of the airport. The ferries run many times a day and you can even check your luggage in Macau, if you have any. It is very user friendly.
Macau is a safe place with many hotels of all price ranges. Where to stay depends on how many amenities you require. Check online for rates. Macau is so small that you can easily get around by bus or taxi and it doesn't matter what part of town you stay in. In Macau proper , you might try the Sintra or else try The Taipa Best Western on Taipa Island. Both have many sights within walking distance and many eateries close by.

Thank you, Mary for the info. :)