I would stay a night in Macau as well. As someone else said, the ferry is around an hour, but from the airport it runs much less frequently so there may be a bit of a wait. If you decide to go from the Airport, do not pass immigration or try to get your luggage. Once you're through immigration, you're going to the city for the ferry. From the airport, you purchase your ticket and give the baggage slips to the agent. They will pass immigration, retrieve your luggage from the belt, and put it on the ferry for you. My experience was that it was very convenient and very seamless.

Besides all the sites on the Peninsula, there are some old homes on Taipa that have been restored and Lord Stowe's egg tarts in Coloane Village. The village is nice and worth a stop, but the egg tarts are sublime.

That being said, for only three days, I could and potentially would skip Macau altogether. There's enough on Hong Kong to keep one busy for well more than three days.