How would you describe the difference between a Macau sauna experience vs HKG spa?  Seems like the sauna experience is just more expensive, with the
exception of the free food.  Will be making my first visit in September and want to get your thoughts.  Also was curious as to Americans getting a visa into
Shenzhen.  I've read that they will not issue one to English or American, but have also seen some conflicting reports on trip advisor.  

I guess by HKG spa you are referring to walk-up HE massage parlours. In my opinion, saunas are theme-parks: big, clean, organised and well-equipped, but industrial, standardised and artificial. Walk-up massage joints are like private kitchens. Many of them are amateurish or simply rubbish so it takes some luck to find the gem. It is impossible to compare them with saunas in terms of scale and facilities but you can find a certain level of intimacy in some of those places. There are numerous reports on both saunas and walk-up massage joints in the Sauna section. They give you a general idea of how these two types of places feel like.

Two very minor (and personal) points: As I said above, saunas are like theme parks. If you are seen walking into or out of Disneyland, people will immediately assume you like Frozen or Star Wars. Same goes for saunas. If your friends or SO see you walking out of one, it will be very difficult to talk your way out. Some walk-up places (like Kama), however, have no sign at all. Not even a door sign. You are seen walking into an unmarked building. You close the front gate and people can't even follow you in. Some spas (like Daily Spa) are in a big commercial building so you can be going to a restaurant or hair salon. Your security is guaranteed. Of course, it depends on which massage parlour you choose to go to. Some have flashy LED signs outside. They are worse than Saunas.

Two, most saunas offer free food but in my own experience the food there are invariably bad. If you like instant noodle you will enjoy it but unless you are not a sodium junkie, avoid the food.

The difference between HK and Macau is sex is legal in macau while its not in HK !

one goes to a sauna in Macau to have sex not massage

one goes to a full facility sauna/spa in HK to have massage not sex

one goes to a walk up massage place (they also call themselves spas which they are not)
for some form of sex (which is illegal) and a lbit of massage if they are lucky to find someone that also knows how to massage.

there are also some FS or HJ saunas in HK which you can read about in the sauna section

Yes indeed -- there is absolutely no experience like a Macau Sauna.  I was completely blown-away with the entire start-to-finish experience when I tried one the first time.  A perfectly created environment for a mongering man.

Thanks for your response to my sauna question.  No doubt I'll just have to try both to get a "flavor' for the two institutions.
I am sure they'll both be enjoyable.  I have experience here in the states as well as several trips to Thailand.  So I am not
naive about the expected beauty to be found or the hit and miss aspects of service.  Looking forward to it and again
thanks.  Kudos to the contributors herein, of which I shall make some reports of my recent experiences here in the
states.