1. From Hong KOng to Shenzhen you can take East Rail Line to Lo Wu Boarder and then pass the customs.
2.Yes, go like that way is possible.
3. From Shenzhen to Chaozhou, you can take long distace bus at Luohu Bus Station or Futian Bus Station, it takes around 5 hours to arrive. In CHaozhou, You can visit Kaiyuan Temple, Fenghuangzhou Park. In Shenzhen, you can go to Window of the World, Splendid China and the Safari Park. In Zhuhai, you can go to New Yuanmingyuan and Qinglv Lu.
4. From Chaozhou to Guangzhou you can take long distance bus ,it takes around 6-7 hours to arrive.
5.From Guangzhou to Zhuhai you can take long distance bus, it takes around 2-3 hours.
6. From Zhuhai to Macau you just need to pass the customs at Gongbei Boarder.
7. The ticket price for Window of the World is CNY120 per person. The ticket price for New Yuanmingyuan is CNY120 per person.