if you have Hongkong visa, and it is valid for re-entrance, you can go to Macau without any doubt. (this is what happened when i was in Macau)

but if your visa does not allow you to enter HongKong once you leave it, you need visa to go to Macau.

if you do not have Hong Kong visa, i think you need visa to go to Macau as well.

for how to apply for Macau visa, you'd better figure it out in China Embassy.