how we can take trip from Macau to shanghai?

There is no better method than flying directly.
Or you can take a flight to SZ and then take a ferry to reach Macau.

Don't fly directly it's expensive. Fly to Zhuhai instead, right next to Macau. The airport bus terminates at the Gongbei Border Building where you walk across into Macau and then it's just a ten minutes free bus ride by casino bus to the city centre (use Grand Lisboa or Wynn's). Or you could fly to Shenzhen, go to Shekou Port and take a ferry (100 RMB) to Zhuhai, is cheaper than to Macau, and then take bus or taxi from the port to Gongbei and cross into Macau. Or you could fly to Guangzhou, take the subway to the South Railway Station, then the Guangzhou-Zhuhai intercity railway (1h15 min, 76 RMB), which terminates right next to the Gongbei Border Building as well.