Like other bros advise:
1) You can get bus ride straight from MFM airport to Gong Bei Customs ( Zhuhai )
2) Hotel is not necessary cheaper in ZH, but you get more bang for your money than in Macao, i.e. 4 star for < than Macao. You can see pic of hotel while at Agency doing hotel booking. Always book at Agency instead of front desk of hotel.
3) Sauna Action - almost all in Gong Bei area is good.
4) In macao, normally I catch a cab from border to Holiday Inn Hotel ( closeby to it) many tour agency to book hotel rooms (HKD 400-500)
5) Seafood - any taxi driver can bring u to Hai Xian Jie( Sea Food Lane) in Wanchai.
Happy Cheong