Method A:
AEL to Hong Kong station : HK$70, 20 mins
Interchange to Central MTR: 10 mins
MTR Central to Kowloon Tong KCR: HK$12, 20 mins
KCR Kowloon Tong to Lo Wu: HK$15, 30 mins
Method B:
City Flyer A21 Bus to Hung Hom KCR: HK$22, 25 mins
KCR Hung Hom to Lo Wu: HK$20, 40 mins
Method B is probably minimum fuss.
Lo Wu is the last station for the KCR, although there are dedicated trains that go up to GuangDong. Everything is marked clearly, and you will know when you get to Lo Wu because everyone else gets off. Make sure you catch the right train; the Lo Wu trains alternate with the Sheung Shui (Hong Kong side of the border) trains, so check the destination carefully before getting on.
You can't go directly to Macau from the airport. You need to go back into Hong Kong for that. From the Airport, take the A11 (HK$40) and change to ferry at Shun Tak Centre in Sheung Wan.