Hi, there is also a helicopter service between Macau and Shenzhen which is very frequent and is a viable option if budget is not a problem - www.helihongkong.com

As for luggage storage, there will be luggage storage options at the Venetian Convention Centre - but expect it to be very busy. There are also v. large lockers at the Ferry Pier in Macau - the helicopter to Shenzhen also departs from here so may work out.