Generally you don't cross the border by bus. The bus drops you off on the Chinese side a matter of metres from the border and you simply walk accross the border. In the opposite direction the process is, well it's the opposite! It's really not confusing and is all very easy!

Your idea of getting the ferry from macau to Hong Kong and then the train to Guangzhou is great if you will be spending some time in Hong Kong or you've got a fetish for ferries/trains () but otherwise the easiest way is simply the bus.