From anywhere in Macau, you can take a bus that goes to the "Gateway" or "Ghoon Hou" (Cantonese) or take a taxi. Taxis are quite affordable.
You have to leave Macau custom and walk about half a kilometer to the China side custom, expect large crowds on holidays, weekends and during peak hours (morning and evening).
To enter China (as any country) you will need to fill in a relatively simple Arrival Form which has English. Once through the custom gate you are in Zhuhai! A big underground shopping complex awaits you! almost 9 years ago