There are multiple ways to get from Shenzhen to Macau including via bus, ferry or even a helicopter. Being in Nanshan District of Shenzhen I chose to go via the ferry at the nearby Shekou Port.
Shekou Port is pretty simple, basically, it’s just one big room, and as you walk through the front door head left to see the ticketing counters where there is even staff who thankfully speak English. At the terminal, there is a small stall selling items from a bakery, a couple newsstands and a stand selling mobile phone sim cards for Hong Kong and Macau. There is also 2 different ATMs and the one I tried accepted a foreign-issued Visa card, plus there is a currency exchange.