DEPARTURE on ShenZhen airport with VOA

Hi I'm from Malaysia. I will travel to ShenZhen by this coming December with my family. Upon arrival on shenZhen Airport, we plan to go Macau first by ferry. So we no need go though China Immigration. Then, we go to HongKong. We will apply VOA at LuoWu when entering ShenZhen. This is our last destination and we will be staying for 4 nights. I wonder if we can depart from ShenZhen airport by holding VOA.
And, is there any cheaper to apply VOA for grouping if available?