I have to say that I have been in HK, Shenzhen and Macau all in the same day (they really aren't far apart). I have gone day tripping to Shenzhen to go electronics shopping, come back at the end of the afternoon, dropped off stuff at my hotel in HK, and then wandered down to Shun Tak to go to Macau.
Macau can easily be "done" as a pure normal tourist in a couple of days. It's damn small, you could walk from the ferry terminal to Lisboa in about 20-30 minutes (directly). We aren't talking a huge, huge place here.
HK takes longer, I have been many times and there are still new things to see.
Shenzhen, well... the doorway to the largest country on the planet. It could take forever to get it right.
I would suggest if you have the time and the cash that you plan at least 10 days or more. You might want to try arriving on a Thursday, and plan to stay through 2 weekends, which gives you the prime party time twice. You may want to sign up for a bus tour of HK to see some of the sites in a sort of organized fashion.
For mongering, well, it's pretty much like shooting fish in a barrel, except that the fish are strapped to the end of the gun so you can't really miss. From massage the walkups to HG to saunas to KTVs, there are about 101 ways you can have fun, alone or with friends. and all of the are good. Some of the worst reports here are still better experiences than you would get in the US or Canada. It's a blast, but bring plenty of money, because once you start, you will want to keep going