Shenzhen back to HK Airport

Hi
Hope kind forummer will help me, i will be coming with 2 families
2 adults, 2 kids and 2 adults 2 teenager and 1 kid

I have no problem with hong kong , but this time they ask me to bring them to macau and shenzhen. Our flight is Penang-> HK and HK - PG

I would like to spend couple of day in HK and my question are
HK- Macau , I will probably take ferry

and how do i get Macau to Shenzhen ? or is it better if we land at shekou?
point 1 - We must likely will find hotel at dongmen, and will shop at dongmen

and how do we get from Shenzhen back to HK Aiport? Our flight back home is 6pm