Aside from taking a boat other ways to get here is by plane; which most tourist nowadays use Macau as an entry point before heading towards Hong Kong. 

Upon arrival at Macau ferry terminal everybody will have to pass by their immigration. Make sure you have all your immigration/travel documents ready when you go here.

With regards to currency, you can still use your Hong Kong dollars here but most likely your change will be in Macau money. On the other hand, when you go back to Hong Kong you can't use Macau currency for your transactions.

One of the most famous site and a must visit place in Macau is the Ruins of Saint Paul!
Located near Senado Square, it was destroyed by a fire in the early 1800s, leaving the facade of the church as a remarkable tourist attraction.
The Senado Square is another landmark the tourist flock into. Going through the old city of Macau will convince yourself you're in Europe, only that the inhabitants are mostly Chinese.