Hong Kong airport to macau

I wish to travel from Taipei to Macau transit HK Airport (with check in luggages)
May I know how do I go about it ?
I was told that if I have check-in luggages then I must come out from HK Airport and go to one of the Ferry terminals to take a boat to Macau instead of taking a ferry from HKIA directly to Macau.
Kindly advise me. Thank you.
Michael Tan (My email address is mikebtansingnet.com.sg)