Just want to add that because the Turbojet ferry between SZX and Macau is so infrequent, you will most likely be better off taking a taxi from SZX to Shekou, and then take the ferry from there to Zhuhai (I think every 30 minutes, takes just under an hour). From the Zhuhai port, taxi or bus to the Gongbei border crossing into Macau.

Edit: civicmon just beat me to it.