Taking in all the comments and advice made above, it still is very possible as long you plan it well and you run.
First, make sure you get enough sleep before you arrive at HK as you will be doing an all-nighter during those 12 hours.
Second, as soon as you arrive and pass HK immigration/customs, leave all your luggage at Left Luggage station. Traveling light allows you to run around (literally). Take some clean clothes that you will change into in Macau. Toiletries will be supplied in the saunas.
Third, run to the HK Airport Express station and get on the train for a direct ride to HK island. If you are lucky, you will arrive at HK Central station at about 1145am. As soon as you pass through the turnstiles of Airport Express station, take a quick look at the taxi queues. If they are short, jump into cab and tell them Shun Tak Centre - Macau ferries. (you should get some HK dollars beforehand, HK$100 is enough).
If the taxi queue looks very long, then ask for directions for the Shun Tak Centre. Walk/jog on pedestrian bridge for 10-15mins to Shun Tak Centre (it is a red modern bldg). Once on the ticket selling level, browse the various travel agencies to see what sauna packages (ferry tickets + girls + etc) are available. Make sure you don't dawdle too long deciding on package as you do need about 15 mins to clear immigration before departure. You want to aim to board the 1230am sailing. (If you had pre-purchased ferry tickets online, then the packages will not seem so appealing - go straight to immigration).
Fourth, Oh yes, make sure you prepurchase return tickets from Macau to HK. Make sure you get a 630am sailing reservation which will get you back to Shun Tak Centre by 7.35am or so. If you should ever feel nervous about making your flight, you can always go on standby in Macau and take an earlier sailing back to HK. But make sure you have that confirmed 6.30am reservation.
Fifth, like Asia-play wrote, you will be at the Macau sauna by 2am. Enjoy your session(s). Don't go overboard and drain all your energy as you do have to rush back to HK and run back to the HK Airport Express train station so you can get on a train by 8am-820am. You still need to get your luggage at Left Luggage and check-in.
Lol, with all that sex and running around, you may lose some weight. Just remind yourself that you will have all those hours aboard the flight home to catch up on the sleep. Good luck!