You can take direct ferry from HKIA to Macau, after arriving at the ferry terminal in Macau, there are free shuttle buses of Venetian Macau.

Yes, you can transfer from HKIA to Macau via ferry. Upon arrival in HKIA, don't clear immigration. After you disembarked from the plane, proceed immediately to Macau ferry ticking counter. You can look out for signage for direction. You can also check it out from HKIA website for the location of the ferry ticketing counter. When you book for ferry ticket, pass the ticketing staff your baggage collection coupon issued by the airline. They will arrange to transer your baggage to the ferry. It will take sometimes to transfer for baggage, it is preferred give an allowance of 1 hour before the ferry departure. After that, you can proceed to the ferry transfer waiting point, where a coach will fetch you to the ferry terminal. The ferry staff will ensure that your baggage has arrived before you are allowed to board the coach.