In theory OP could enter Hong Kong and take the Cityflyer A11 bus over to the ferry terminal in Sheung Wan, and go to Macau there, since the ferries are more expensive out of HKG SkyPier than in the city... but that maybe saves $10-20 AUD a person but adds some considerable aggravation and schlepping of luggage and family. I don't think I'd want to do this with three kids just to save that. Once you add cab fare into the city (or Airport Express passes) most of the price advantage disappears- you really need to take the bus.

For a single traveler this might be "easy enough and cheaper" (I've taken the A11 to Sheung Wan before, it's fine), but not so much for a group with kids going to Macau compared to SkyPier. It would make more sense to go out of Hong Kong if OP was staying in Hong Kong for a day or two.

And if one is flying to Macau and staying in a luxury hotel like the Conrad anyways, what's wrong with spending a little money on getting there efficiently, anyways? Pinching pennies on the ferries after a longhaul flight doesn't sound like much fun to me...