By ferry from Shekou is the most direct way. Be sure to get a boat to Macau New Harbour. This will drop you at the normal Hong Kong ferry pier and save you time and frustration. An alternative is to take the ferry to or from Zhuhai, the special economic zone along the Macau border. Be warned that the Gongbei border crossing is always very busy and you may have to wait a long time. A taxi is necessary to take you to and from the border at Gongbei to the pier at Jiuzhou. This takes about 15 minutes.
By bus, you catch a bus at the Futian Bus Terminal which goes to the Zhuhai bus terminus at the border checkpoint Gongbei, right on the Macau border.
The buses are comfortable and leave every few minutes. The journey takes about two and a half hours and passes through some wonderful delta scenery including the giant bridge over the Pearl River at Humen.
For the return trip, you just do the reverse and catch a bus from the Zhuhai bus terminus at
Gongbei to Futian Bus Terminal, Shenzhen. Bus staff will direct you to the right bus.