Bruneian ICI visiting Hong Kong - Macau - Shenzen in May/June 2013

Hi there. I will be visiting Hong Kong end of May. FYI, i am a Bruneian holding an ICI Passport so obviously i need a visa to enter Hong Kong. As I have few days there, I decided to visit Shenzen on my second day for a day trip and come back in the evening. On the third day, I am planning to visit Macau from mornig and coming back to in the evening.

As you see that my itinerary involves 3 locations, so any advice on application? So, it should be (1) Enter HK(2) Exit HK - Enter Shenzen - Enter HK(3) Exit HK- Enter Macau - Enter HK.

Hoe many visas do i need for the entries and exits?