I'm planning a trip in September 2012, HK, Macau, Shenzhen and Guangzhou

The route of 'Shenzhen - Hong kong - Macau - Guangzhou - Shenzhen' is the best one. From Shenzhen to HK, you just need to go across Luohu Border, then you will get into HK. You can take the East Rail Line to the downtown area of Kowloon. From HK to Macau, ferry is your first choice. From Macau, you can take cross-border coach to Guangzhou, then from Guangzhou to Shenzhen, you can choose to take the bullet train.