The first method: from the customs gate in Macau to Gongbeiguan in Zhuhai, and then many cars go back to Shenzhen in Zhuhai's auto shop.
The second method: take a boat back to Shenzhen at the Macau Ferry Terminal in Macau. I'm sitting at Fuyong Wharf in Shenzhen, which is very close to Shenzhen Airport. You can also take a bus back to downtown Shenzhen at the airport.
No problem. ^^