For five days go to these cities seems you would be in a hurry, transport between each cities, the best way is to take long distance bus. From Shenzhen to Guangzhou you can also take train, and from Zhuhai to Macau you just need to pass the customs.
On this website there are some information about the famous attractiosn in each city, the information also indluding the ticket fares and transport, it is very helpful.