You can get to Shenzhen from Macau rather easily, but it is certainly annoying, and adds on the cost.
http://www.turbojet.com.hk/eng/schedule/prd_3.asp
I don't think MFM or HKG has a direct XIY flight so there's no real reason to switch it up, unless you're keen on flying CX or something.
Looking at Shenzhen I see a bit lower...although I'm looking on qunar.com which is in Chinese.
As for the train tickets you should try to work that out in advance, because 7 of those are going to be tough I imagine....softs should work too if they're not available.