Yep, I'd go to Macau before considering Shenzen (been to both). Even if you don't care for gambling, it's good to see some of the old Portuguese colonial buildings, the tower, the whole 'feel' of the place is quite a lot different to Hong Kong too..
Oh do go see the Giant Buddha on top of Lantau (either by cable car from Tung Chung or bus from Mui Wo), DEFINITELY worth it. For meals, don't eat at hotels, seriously, there is nothing more stupid you can do than that. Hong Kong has some of the world's most brilliant restaurants. Check out Soho (on HK island) or Knutsford Terrace (in Tsim Sha Tsui) for a great selection of international restaurants that are priced very well. Best thing to do in Hong Kong though is definitely shopping. For tourist sites, see above, don't bother with Disneyland, seriously... It's the worst of the lot and always packed.