Shenzhen - HK - Macau

I plan to travel to Shenzhen from Malaysia. If I go to Hong Kong for a day and return to Shenzhen, and go Macau for a day, and return to Shenzhen again as a day trip, do I apply for a multiple entry visa? The intended duration of stay is only for 5 days, and I will leave to Malaysia again from Shenzhen. So do I apply for single entry or multiple entry beforehand, or VOA?

Kindly advise, thanks.