Yes, you need to apply for a visa to Macao through Chinese embassy in your country. The detailed requirements are as follows:
1. A completed Macao visa application form(https://www.travelchinaguide.com/embassy/pdf/macau-visa-application-form.pdf) ;
2. Copy of the bio data page and used pages in a valid passport/travel document;
3. Document of financial status (e.g. bank statement, deposit in savings account, tax payment receipt, employment certificate, etc.);
4. Document of transportation to Macao and accommodation arrangement (e.g. round-trip air tickets and hotel room reservation receipts, etc.);
5. Document to prove the purpose of visit;
6. Inside pages in the travel document which had been used for admission to Macao (if any);
7. Valid entry visa or residence visa/permit of other countries or regions (if any).
It takes 5 working days for processing in general, Beside, they provide express and extra express service for it, of course, you need to pay extra service fee if you want to get a visa earlier.