Join Date: Aug 2010
Location: LGA - JFK
Programs: UA, AA, DL, B6, CX, KE, Latitude, VIFP, Crown & Anchor, etc.
Posts: 2,589
OP, Jan. & Feb. is among the among the best time of the year to visit this sub-tropical modern & compact city of high-rise buildings a/k/a concrete jungles, with an ultra efficient & inexpensive public transit system. As noted above, please do more online research & reading first, there are many FAQ & quasi-stickies frequently updated to narrow down what you wanted to do.
ORD has non-stop options to HKG, CX would be our choice but you should also checkout DFW or ATL as your gateway depending on your preference for carriers, keep in mind weather & flight mis/connect in Jan/Feb. in the U.S.
Macau is a micro-city of historical old landmarks and new, known to many as Vegas East with numerous casinos so you might feel at home, wide choice of hotels, amenities and prices to match (better luck on weekdays, maybe - still packed with mainland China tourists.) A one-night stay might suffice but please research to see what's of interest with 2 years old in tow. Wear comfortable walking shoes for both cities.
Last but not least, explore Youtube for tons of visuals of what it's like for your first visit. Eating various of ethnic food, especially Chinese, is what most visitors (and, locals) do and loved, with broad range of prices & choices so that's a given.