From the W, take a taxi to the China Ferry Terminal in Tsim Sha Tsui.
http://www.nwff.com.hk/eng/fare_tabl...?section=Macau
If you take a tour, you can do usually pick one up from the Macau Ferry Terminal upon arrival. I recommend taking the tour if you want to see more than just St Pauls and Senado Square. The Macau Tower offers a nice overview of the city and a basic tour will probably also drive over to Coloane for the some of the famous Lord Stow egg tarts. Taking a taxi to all the main sites is expensive, but taking a tour will limit your freedom. Towards the end of the tour, I would ask the guide to let you out in Cotai and catch a glimpse of the Venetian Macao and the City of Dreams casino/resort across the road. If you do this, you should still leave a few bucks tip to the guide and driver.
If you don't mind taking a ferry back to the HK Island side (Shun Tak Centre), you can catch the free shuttle bus from the Venetian to the temporary ferry terminal in Taipa and take the Cotaijet back to Hong Kong in the evening.
From there, you can walk over to Hong Kong station in the muggy summer weather, and take the MTR one stop to Kowloon Station (Tung Chung line).