Very limited experience, but it should at least get you started......
I've been there twice for the Grand Prix. The fast ferry from Hong Kong takes about an hour and the on-board service includes the sale of Macau SIM cards. Alternatively, there are vending machines in the ferry terminal in Macau (downstairs from the heliport) that sell SIM cards and top-up scratch cards. All of us bought local SIM cards and had no problems with coverage or using UK (unlocked) GSM phones. As I recall, prices for using the local SIM cards to call the UK weren't that bad.
Long-term, there are plenty of phone shops near the casinos that'll sell you phones, SIM cards, batteries etc. Of course, HK might be a cheaper bet for a new, unlocked phone......
Good luck
57A