I am Indonesian. I want to travel with family to Hongkong, Macau and Shenzhen.

Indonesians can apply fore the visa on arrival for SZ according to the regulations, but it is usually hard to get one on the spot. To avoid any problem, I suggest you apply for a China visa in your country in advance.

Also it is acceptable to apply for one in HK and Macau (at this point, it is fine to arrive either at HK or Macau). You should go to the Office of The Commissioner of The Ministry of Foreign Affairs of PRC in Macao or HK.