Done it many times. This is the easiest way to Macau from many countries. A couple of tips. Don't bring duty free because that gets caught at the security checks. Going to Macau, get off the ferry quickly because the migration queue can form rapidly. Don't be alarmed as the HK terminal pathway to/from the ferry takes you down some odd and quiet corners. Finally don't bother sightseeing - the pollution can make the visibility like peering through mud.