144 visa-free transit itinerary

Hi!

I'm planning my Hong Kong trip where I also plan to visit a few days in Shenzhen (and Macau). I'm a danish passport holder.
The plan is to go from Hong Kong -> Shenzhen -> Macau.

As far as I know this is eligible for the 144 hour visa-free transit.

Would I just go to one of the ports (e.g Lok Ma Chau) and apply for the transit visa there?
Does the the visa-free transit cost money?

Thanks!