A ferry is the only “normal” way to travel between Hong Kong and Macau (I think you can take a helicopter if you really want to spend a lot of money). There are multiple ferry links connecting different parts of Macau with different parts of Hong Kong.
Given that you don't have all day, you should take the ferry straight from the Hong Kong airport when you land. There are ferries approximately every 2 hours during daytime. You don't even go through Hong Kong immigration at that point, you get out of the airport and into the ferry terminal and directly to Macau immigration. Some airlines can check your luggage up to Macau. The ferry arrives in Macau at the Maritime Terminal.
From Macau to Hong Kong, there are several possible ferries with slightly different prices and schedules. You can check live departure information online. The most frequent is the TurboJet service from Macau Maritime Terminal to Hong Kong Macau Ferry Terminal; there is also a service to Kowloon.
From Hong Kong Central or Kowloon, the fastest way to go back to the airport is the Airport Express. There are many other, cheaper options by bus or regular subway plus bus (e.g. via Tung Chung in Lantau).
EU nationals can enter both Hong Kong and Macau without a visa for short stays (up to 90 days) for business or tourism.