For many years, the usual way to get to Macau was to fly into Hong Kong and take the ferry across to Macau.
Today, Macau is becoming a low-cost airline hub, so one might fly to Macau to reach Hong Kong.
Most visitors do not need visas, with 30-90 day permits issued for free on entry. For those requiring a visa, they have to be obtained from a Chinese embassy or consulate, and applied for separately from the mainland Chinese one.
Like Hong Kong, Macau has a separate immigration regime from mainland China and anyone going to Macau from the mainland is deemed to be leaving China.
If you want to re-enter China from Macau, you'll have to apply for another Chinese visa unless your earlier one is a multiple entry visa.
