Upvote:2
If you're travelling on a budget - which I assume you are because you're staying in hostels - then the key thing would be to find a place to spend the night in Macau. The only hostel that I know of in Macau was Augusters Lodge (they weren't on Hostelworld) but as far as I know they shut down. So the only option for "cheap" accommodation that's left is Couchsurfing.
The other option for exploring the nightlife of Macau is to crash and catch some sleep in a casino. The big ones like City of Dreams or the Venetian don't really care. The ferry from Hong Kong to Macau doesn't take too long though, so if you feel tired then you can easily head back to your Hong Kong hostel to get sleep.