Just to add my experience to the info about data plans and SIM cards. When I visit Macau, I always get my pre-paid SIM cards from one of the ladies that hang around at every corner near the vicinity of Sanado Sauna (this area includes saunas like Golden, Windsor, Supreme and Sanado). You will not miss them when walking around that area.
I always get a 3Macau pre-paid card that costs HKD 100 and comes with phone calls and 3G. I will just handover my iPhone to the lady and she will do everything for me from clipping the SIM card to the correct size and activating it. I find that the HKD 100 will easily last me a week for things like WhatsApp, Facebook, browsing, emails and sometimes tethering to another device. I'm not so sure how many MB of the data that gets me though.
Do make sure you get the data plan one. My Mandarin sucks (and Canto is not existent) but I get by by saying "San G ka" (3G card) and they know what I'm talking about. I once bought a card from a vending machine at the ferry terminal and couldn't navigate it for the life of me!
When I need a top up, again I just handover my phone and HKD 50/100 to the lady and she does everything for me. It's just so convenient.
In terms of coverage quality, 3Macau is good and I've never had any problems, even when in the basement level where Sanado is located.
Hope that helps.
PS - Info about 3Macau here
http://www.three.com.mo/eng/sim/3g