any budget airlines going 2 HongKongShenzhenGuangDong from sg or my or bkk?

Answer 1

There are a number of budget airlines operating between BKK and Macau, and Singapore and Macau, from there its just a ferry ride to Hong Kong.

Tigar Airlines and Air Asia are two that spring to mind.

Answer 2

I think you only have China air or Cathay Pacific. I paid less to fly on Cathay Pacific. I would not risk flying on cheaper airline - it is a long flight!
15 hours then transfer and another 3 - 5 hours to your final destination.