Hi we're planning to go to Hong kong - Macau - and Shenzhen this coming may 28-june4, 2013.

Here is my recommendation: Macau - HK - Shenzhen.
Macau to HK, the ferry can be very convenient. HK to Shenzhen, you can choose to take rail or ferry.
About the visa, do you plan to travel joining a tour or private? If you have a tour, you had better turn to your tour agency for help.

Alisa, hello!

thank you. what if we dont avail tour packages, how can we apply shenzhen visa by ourselves? how much? ive heard it is about 160hkd?

If you travel individually, you may need to apply for a China visa in advance from Chinese embassy in Philippines. Visa from HK internation Airport is possible, but I can not ensure you with it.