The main ferry pier on the Macau Peninsula.

There should be lockers or inexpensive left luggage, though I am not 100% sure.

Main pier had lockers which fit my carry on and computer/briefcase nicely; it is also computerized so no coinage/local bills needed. That was 2012.

How difficult and expensive would it be to get to the historic city center from the Conrad? Taking into account we have a 1 year old with us and if nothing else is quick and easy I would probably prefer taking a taxi there and back.

We'll have 5 days in Macau and plan to make short trips every day (to allow for lunch time naps for our little one). THis worked out well in Venice last year and I hope it'll be the same in Macau and Hong Kong.

Of is 4 nights/5 days too much even if you can only do short 2-3h excursion trips each day?

That is a lot of time, and probably too much. Though if you do decide on that many days, I can give recommendations for sites to see that's not on the World Heritage list, but very worth visiting nevertheless.

And since you're staying for that many nights, quality of the hotel is important, as you'll spend quite a bit of time there.

It is inexpensive to take taxi from one of the Cotai Strip hotels to the historical sites on the main peninsula. US$10 and 10-20 minutes depending on where you're going. The problem is it can be extremely difficult to find a taxi back to your hotel, as most of the taxis are concentrated at the main hotels, casinos and the ferry piers. And forget the bus.

I would say even 3days/2nights would be a very conservative amount already.

Update on my trip. Arrived at around 2:30pm in HKIA, bought the ferry ticket to Macau in HKIA arrival area for 3:15 departure.

I also bought prepaid sim card at the arrival area; they got many options but I picked the 3 prepaid 3G data for HKD $298.

Went to the boarding area, right behind the place to buy the ticket, went downstairs , took the train to the SkyPier. They'll ask you if you have any checked baggage or just carry on and it'll indicate as such in the ticket.

Arrived in Macau at around 4:15pm and went upstairs in 2nd floor for the locker / storage. You'll need $25 in Macau $5 coins for 2 hours, there is a coin changer machine opposite of the locker. It took me a while to get the coin changes, for some reason it does not like my $20 HKD paper bill but it works w/ $10 HKD bill. There is a money exchange in 2nd floor, where the rates are better than the HKIA.

Took taxi to city center, cost about $20-$25 HKD. Walk around for 3 hours and back to the ferry terminal by taxi for 8:15pm departure. Bought the ticket in the ferry terminal, you'll need your passport and confirmed ticket for the HKIA destination. The ferry was late in arriving at HKIA by 9:30pm, so don't try to cut it too close.