If you travel to Hong Kong and Macao Special Administrative Regions(SAR) in tour groups organized by travel agencies registered in the HK/Macao SARs are exempted from visa requirements for a period of not exceeding 6 days when entering into Shenzhen. But you need to apply for a single entry visa to Macao and a multi entry HK visa as your plan visit said above.
The documents you need to provide for HK visa are as follows:
1, Passport: Make sure that it has at least 6 month validity and at least 2 blank pages.
2, Properly completed visa application form with one recent passport-size color photograph.
3. Copy of the passport face page and the previous HK visa
4. Sponsor letter from Hong Kong
5. Local company covering letter (The company address, contact number and the detailed visiting purpose should be correctly and clearly stated.)
6. Company bank statement (latest month)
7. Travel itinerary
8. Copy of BRC (Business Registration Certificate)
9. Company pay sheet (last 3 month)