Reiterating what others have mentioned about the Cotai/Hengqin border crossing. This border is cumbersome as you need to get processed on the Macau side and then take transportation across a bridge to be processed again on the China side. There is a shuttle bus but its frequency is not ideal. Once you get to the Hengqin side you will be able to find taxis with little difficulty.

However, would highly recommend you cross at Gongbei on the Macau peninsula side. Just take a free shuttle from any of the hotels on Cotai. These days the lines at immigration are not too bad (a function of the gaming industry's downturn and resulting fewer visitors). Just try to cross before 6pm as the flow of people from Macau to China is busiest in the evening.