I plan to go Zhuhai or Shenzhen and last stop at Guangzhou. How should i plan my route from Macau？

From M, you can reach Zhuhai first by passing the Gongbei Border.
From Zhuhai, you can take the bullet trains from Zhuhai Railway Station to Guangzhou South Railway Station directly.

If you want to go to Shenzhen from Zhuhai and then to GZ, you need to take buses from Gongbei Bus Station. Then from Shenzhen to GZ, you can go to Shenzhen North Railway Station or Shenzhen Railway Station to take the bullet trains for GZ.