There is a direct ferry from HKG (airside) to Macau:

http://www.turbojetseaexpress.com.hk...ule_fare_table

However, it only has 5 sailings a day. After you get to HKG, if the time is right, you go to the transfer desk instead of immigration. Buy the ticket there and show your luggage tag, they'll fetch the bags from the baggage claim for you. You then transfer to the Skypier and board the ferry. You will not enter Hong Kong at all.

Or just go to the city and take the regular Turbojet from Sheung Wan. In my opinion, the best way (other than a taxi) is to take the A11 Cityflyer bus. $40, every 20 minutes, and the VERY FIRST STOP after it gets to the city is the Macau Ferry Terminal. No transfer, no walking (unlike the Airport Express).