To go hk, take a cab to jiuzhou gang. From gongbei go there, cab fare less than 20rmb. They have two destination, one is HK island, one is Kowloon. If you are going to those pasa malam den go to the one is Kowloon. Its at Tsim Sha Tzui, so quite a lot of shopping there. can check out jiuzhougang website as below.
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Regarding last bus to Gongbei from Macau airport. If you miss the last bus, you can either hail a cab and cheong down before the gate close at midnight. Or if yoy have the time, take the shuttle bus to venetian, and den take another shuttle bus from Venetian to the border. Their bus service ends 11.30pm i think. Norm, i will do that, cos I will want to play a few games before crossing over..