Since I'm staying at jianguo which is next to guangzhou east station, is it more convenient to take a train to HK and then ferry to macau?

The Guangdong-Kowloon Train will reach Hung Hom in HK. Then you still need to use local MTR system to Sheung Wan to HK Macau Ferry Terminal, where you can take a ferry to reach Macau.

You can also go to HK first and then transfer to Macau. Personally speaking, it is a little bit complex, but if you want to have a try, you can go. This method will be comfortable although transfering may be a little bit complex.