From HKIA to MACAU. What is the procedure if AIRLINE is Cebu Pacific?

My Family will be arriving at HKIA and will plan to go to Macau. I researched that there is a Skypier that has port going to Macau. We have to check-in our baggage because it is Medium size bag and I assume is not allowed inside. What is the procedure.

Thanks in advance for your answer.