what is the best way to go from macau to Shenzhen with my friends and how much will cost?

You can take direct ferry at Macao Outer Harbour Ferry Terminal, and arrive at Shenzhen Shekou Port. The schedules are 09:45, 10:15, 12:00, 13:15, 15:15, 16:00, 17:00, 18:00, 19:00, 20:00 and 20:45. The duration is about an hour. It costs around 250 MOP$ per person.