That's something I had considered as well but found it very easy to do what you had proposed. If possible, try and match up your arrival in HKG with a ferry to Macau (there are two companies that go) as if you were making a normal "airport connection."

I flew PEK-HKG and never even saw my bag in HKG. They take your inbound luggage tag and pull it for transfer. A bit nerve wracking as you never have eyes on your bag, but it worked out fine. I had the ferry gate agent confirm receipt of the bag.