If one hasn't booked a hotel in advance, I have found the best way to get a room in Macau is to use the travel agencies. They cover just about every major hotel in the city, and you'll get a discount of 20-30% compared to what the hotel will charge you for walking in.

If you are arriving by ferry, there are a large number of travel agent booths located on the right-hand side of the tourist information center as you exit the immigration area. Many of them have listings with prices in English.

If you are arriving by air, the airport also has several of the same types of booths to book hotels. I used this venue this week, as I flew in from Bangkok. The travel agent even gave me a free ride to the hotel after I booked through her, saving me the cost of a taxi.

If you need to extend your stay, DO NOT do so through your hotel (unless they miraculously agreed to give you the same discounted rate). Go to a travel agent, and extend your stay with them. Again, you will save a lot of money this way. There are numerous travel agencies located in Macau where you can do this, with a very heavy concentration on the same street as the Hotel Grandeur and the Holiday Inn (Rua de Pequim). You do not need to go back to the ferry terminal or the airport to get the same deals. The in-town agencies can get them for you as well.

If I recall correctly, when you book a room at the ferry terminal in Hong Kong, you can also get discounted passes to Macau saunas as part of the package. Do you know whether this also applies when you book or re-book your room through a Macau travel agent?

I'm not sure about that, as I've never inquired.