From HKIA website (retrieved 7 June 2017):
To PRD and Macao
For transfer passengers who would like to take
ferries to the Pearl River Delta (PRD) / Macao, please proceed to the
ferry ticketing counters located at Transfer Area E2 and DO NOT go
through immigration procedures and reclaim baggage. Passengers who
have gone through immigration procedures CANNOT return to the ferry
ticketing counters and use the ferry service.
To use the service, passengers must:
Possess the following items:
Same day arrival flight air ticket / e-ticket / boarding pass stub;
A valid ferry ticket; and
A valid passport and, if applicable, a visa for intended destination (China / Macao).
Transfer to PRD / Macao within the same day of
Arrive at the Ferries to Mainland / Macao Ticketing Counter
located at Transfer Area E2 at least 60 minutes before scheduled ferry
departure time for ticketing and transfer procedures. For passengers
without checked baggage, 30 minutes would be sufficient.
There is an associated Chinese/English flowchart as well.
Its steps are:
Purchase ferry ticket and present baggage tag receipt at the Ferries to Mainland/Macao Ticketing Counter at Transfer Area E2
Scan ferry ticket and check your baggage status at the ferry boarding entrance
Board the Automated People Mover to SkyPier
Board ferries to PRD & Macao ports (note: PRD is Pearl River Delta ports)