Hong Kong to Macau express link.
Very easy.
After disembarking, do not enter Hong Kong but go instead to the Macau Ferry ticket desk.
Buy a ticket to Macau and hand over your luggage labels. The ferry company collects your luggage for you.
The ferry journey takes about an hour, on arrival in Macau, complete Macau immigration, collect your luggage and complete customs and enter Macau.
Many hotels run buses to pick up passengers at the ferry terminal.
Beware if you return to HKG from Macau then you can only do this directly with some airlines. Most airlines you have to go to HK Central by ferry, enter HK then travel to the airport. About 90 minutes.