Take bus to Gongbei Boarder and pass the customs to Zhuhai, walking along Qinglu Lu is a good choice. To Shenzhen, you can take long distance bus at the bus station near the boarder. From Shenzhen to HKIA you can take ferry at Shekou Port, or you can pass the customs at Luohu Boarder and then take East Rail Line to Sheung SHui and then take Bus A43 to HKIA. In Macau, you can stay at Ole London Hotel and tour around Senado Square, Three Cornucopias for shopping and local food. In Shenzhen, if you want goods that's not so expensive, you can go to Dongmen Area, food and shopping places all can be found there. In Zhuhai, there is a large market at Gongbei Boarder, you can shopping there.