Hong Kong, Macau and mainland China (including Shenzhen) are
separate immigration jurisdictions. Visa requirements may
vary and will function independently. You will need a passport
to travel between these areas, and you may need a visa.
For travel to China it will often be quicker, simpler and
easier to get a visa once in Hong Kong (typically, you
can get this done in a couple of days at a local travel
agent — but they'll need passport photos, your
passport and, maybe, a business card). Macau is only
one hour from Hong Kong by fast ferry and definitely worth
visiting if you have time — even if generic chain
casinos are not your thing.