Macau and HK are a part of China, they have 
a different visa system : therefore, if you go to one of these places from China, it is like if you are exiting China. In order to re-enter China, you would need another visa or a valid visa (ie double or multiple entry)
You can apply for a Chinese visa:
1. In any Chinese consulate or embassies in your home country
2. In Hong Kong or Macau
In HK
China Travel Service (CTS)
1/F Alpha House
27-33 Nathan Rd, Kowloon, HK (near the Star Ferry Terminal)
Tel : (852) 23.15.71.88 (English spoken)
Fax : (852) 23.15.72.92
In Macau
China Travel Service (CTS)
New Jetfoil Terminal
Tel : (853) 71.50.75 (English Spoken)
(One year business visa available at interesting price)
3. At the border in Zhuhai when you are arriving from HK or Macau
At Jiu Zhou Port (arriving from HK)
The CTS is located inside the port, before the passport check
Open : from 8am until 7pm
Tel : 3335700
At the Gongbei Customs (arriving from Macau)
The CTS is located inside the Custom area (in the no man land’s, between Macau and China), on the left side, just before the China passport check
Open : from 8am until 10pm
Tel : 815.64.66
Documents to bring : 2 passport size photographs and your passport !
Fees : 3 month single Entry : HK$ 240
3 month double entry : HK$ 370
6 month multiple entry : HK$ 1100
Note : These fees are not applicable for Reciprocal Countries (USA, UK, Netherlands, Russia, Brazil, Mexico, Escuador, Belarus, Cameroon, Gabon, Eritrea ,Anglola, Ethiopia, Armenia, Uzbekistan, Kazakhstan)
Special 3 day Zhuhai Visa
At the Jiu Zhou Port or at the Gongbei Customs (see above), you can apply for a 3 day Zhuhai Visa, valid only in Zhuhai, which means you can only exit China by the same port you entered the country.
Fees : 150 RMB (not applicable for the Reciprocal countries, see above)
Note : you don’t get this visa at the CTS but at the Visa Office.
In Zhuhai
If you need further information about visas, residence permits and working permits, you can contact :
The Aliens Administration Section, Zhuhai Municipal Public Security Bureau
Add : Huwan Rg, Xiangzhou
Tel : 864.05.10
