If you don't have to land in Macau you may find better fares into HKG and take the ferry from there.

Also would price out a ticket to the China side of the border since that would be domestic flight fares... forget the name of the city there, I'll have to look it up and edit later. I'm assuming you have a Chinese visa or passport if you'll be coming from PEK.

EDIT: City on chinese side of the border is Zhuhai