I am planning on going to Macau - Hong Kong. (How if I want to enter China "Shenzhen /Guangzhou")

Q1: Need to apply visa ? from Malaysia or apply at border?
Q2: Need your opinion, better to enter China from Macau or Hong Kong?

For Example:

From Macau
-Zhuhai-Guangzhou-Shenzhen - Hong Kong

From HK
-From Macau to HK (Enter to China : HK - Guangzhou - Shenzhen - HK)

# visit Macau & Hong Kong (Original Plan) 8Day7Night

When i see map (china so near with Macau & Hong Kong),
now Im so excited to visit Macau - China "Guangzhou& Shenzhen" - HK

already book flight ticket
arrived : Macau
departure: HK

need your advise