Entry via high speed rail

Mike, high speed train is not eligible for exit from Hong Kong toward mainland China. You can use ferry from Hong Kong to either Shekou (Shenzhen) or Nansha (south from Guangzhou). Just before your boarding the ferry to Shekou or Nansha, you will have to buy a ferry ticket from Shekou (Shenzhen) to Macau. Simply speaking, the immediate points before and after your mainland Chinese visit have to be in two different countries or eligible territories (eligible territories are Hong Kong, Taiwan and Macau). So, Hong Kong - mainland China - Macau is the way to go exactly in the order as I have explained. One more detail, you will really have to take exactly that ferry to Macau that you have bought your ticket for. Have a nice visit to Taishan.