You can cross from mainland China to Macau on foot at the Portas do Cerco (Barrier Gate) crossings at the extreme north of Macau Peninsula.
In fact, thousands of Macau and Chinese citizens do it daily, making it an horrendously busy crossing.
Depending on the time and day of the week, expect long waits to get processed. The crossing on the Chinese side is called Gongbei in Zhuhai.
Getting there/away:
The massive underground Portas do Cerco bus terminal is beneath the pretty garden in front of the border checkpoint plaza. You'll be able to find buses to most parts of Macau, including Taipa, Coloane and the Cotai Strip from here.
From downtown Macau by taxi, the border is about 10 minutes and MOP$30. See Zhuhai page for details to get to Gongbei crossing.
As most people crossing the Barrier Gate are China or Macau residents, you may get a short queue at the China customs if you hold passport of another country as there are separate custom counters for non-China and Macau residents.
However, the Macau customs only divide their custom counters into Macau residents and all vistors, thus the queue is usually alot longer for passport holders of other countries as they will be queuing with large numbers of China residents.
There are money changers at the Barrier Gate that give very good rates so you can change your money into RMB before crossing the customs.
You are not allowed to walk on the Lotus Bridge between Wanzai in Zhuhai and Cotai. However, there are buses which shuttle between the two checkpoints.
