From Hong Kong Airport, you could take a ferry to Macau directly without collecting luggages and go through the Hong Kong customs.

After arrive at the airport, please follow the directions to the 'Ferry to Macau' (don't exit from the immigration). Then, u should purchase the ferry ticket and show your receipt of check-in luggages to the staff, who will arrange the automatical luggage transfer for you. Finally, the staff will guide you to take the free bus to the ferry terminal to Macau.