You could also get a Chinese tourist visa while you are in HK if you prefer to do it that way.
I know for sure the Shenzhen 5day visa is available at Luohu and Huanggang (information from successful applications a couple of weeks ago) and in the internet there are positive comments regarding Shekou port (ferry from Macau):
http://www.szka.gov.cn/bmfw_id.asp?id=288 (Chinese, saying it is available and opening hours of the offices)
Fireworks will be very crowded. Demonstrations are usually not a big issues in HK. Hotel prices can be an issue. I would make the order of the trip dependent on the hotel availability and rates.
I never propose to do a long holiday in Shenzhen, but also Macau is not exciting for me. It depends on what do you want to see.
This is what was so far exciting for my visitors who came to Shenzhen:
-shopping of fake goods (clothing, handbags etc)
-shopping of cheap Chinese accessories (hand fans etc)
-shopping of (oil) paintings (>60% of all oil painting of the world are made in Shenzhen - Dafen Oil Painting Village, copies of famous art as well as own creatio)
-shopping of electronics (not branded high end, but components incl LED lights) and mobile phone accessories (for iphone etc, most of it is produced in or around Shenzhen), also toys (helicopters ar a current trend
-shopping of taylor made stuff (suits, blouses, coats etc), taylor made bed linen, curtains etc.
-visit of Windows of the World (Eiffel tower (1:3 = 100m tall) and many other monuments of the world in a theme park, also with show and fire works
-visit of Splendid China (the China variant of Windows of the World) and China Folk Village (displays the 56 ethnic groups of China)
-visit of Minsk World (a former aircraft carrier)
-visit of OCT East (Theme park, huge, but not exciting if you ask me)
-visit of OCT Loft (art district)
-... (I can give you more information, but need to prepare dinner for my gustes now)