what is the best way to travel between hong kong, guangzhou and macau. We have a suitcase each

From Hong Kong to Canton, the railway and the cross-border coach can be good choices.
Canton to Macau, besides the airplane, you can take a bus at the Provincial Bus Station to Gongbei. Then cross the Gongbei border to enter Macau easily.
From Macau to Hong Kong, ferry is suggest and vice verse.