You can go to Shenzhen from Hong Kong by taxi, perhaps you have to get off the taxi and pass the checkpoint at the border, then change another bus. From Shenzhen to Macau, it will take 3 hours or more by car. The same problem, you should get through the border custom and change to another taxi after arriving in Macau side. How about a ferry. You can take taxi to Shekou Port, Shenzhen. Then take ferry to Macau.