We plan to go from HK to Macao, Shenzhen and guangzhou. Pls advice for the best route&transportation

In my opinion, the route should be like this: HK-Guangzhou-Shenzhen-Macau.
From HK to Guangzhou, there is direct railway from Hung Hom to Guangzhou. You can take them to get to Guangzhou East Railway Station.
After that, you can take the bullet trains to get to Shenzhen. You can take the G-trains from Guangzhou South Railway Station or D-trains Guangzhou East Railway Station. The G-trains will take you about half an hour to get to Shenzhen and the D-trains are an hour and a half.
From Shenzhen to Macau, you can take the ferry from Shekou Port or Fuyong Port, which are much convenient.

The best way is like this: HK-Shenzhen-Guangzhou-Macau.
From HK to Shenzhen, you can pass the Luohu Port and from Shenzhen to Guangzhou you can take the bullet train.
From Guangzhou to Macau, the direct coach is the best way.