We are flying into Hong Kong first, and planning to stay one night in Macau

Then travel from Macau to Guangzhou by train.
Explore a few days in GZ, then Guangzhou back to HK kowloon station by train. And fly off from HK back to UK. All in no more than 10 days.
From Macau to GZ, do we take the train from Zhuhai station? How much time is safe to reserve for clearing immigrations before getting on the train?
Once we book online, do we make full payment or just reservation? And if we book and collect the tickets ourselves, can we collect the tickets before or after we cross the border?