There is no direct transport from Ji'an to Macau. If you want an economical way, you can take train to Nanchang from Ji'an first, then take train to Guangzhou. From Guangzhou, you can take bus to Gongbei Zhuhai. Pass through Gongbei border, you will get into Macau. Or you can fly from Nanchang to Zhuhai, then go to Macau from Zhuhai.
From Ji'an to Shanghai, you can take train to Shanghai South. It takes about 10-13 hours and costs CNY224/350.