Actually, due to his early death it's quite difficult to judge what his plans were, as he became ill shortly after returning to Babylon, and after a period of mourning for his friend and/or lover Hephaestion's passing. I'm not sure if he would have called his empire "Macedonian", as shortly before his death he had begun to adopt the symbols of the Persian state. He had even before this begun calling himself the successor to Darius III (as had much of Darius' family).

Your question is actually a large one in the historiography of Alexander.

Some historians believe Alexander had no real plans for running a state, and was only truly good at conquest. Some believe his conquests were part of an overarching goal of Hellenizing Asia (this happened regardless of his goals). There are dozens of opinions on what was on his mind throughout his long rampage across the Persian Empire, this is a testament to the difficulty of ascertaining exactly what he was planning at the time. The lack of primary sources from the era is also bothersome, but a lot of ancient writers had those primary sources, so we have a lot of secondhand information.

We know he was planning to turn Babylon into his new administrative capital. A pretty good choice, as it had a long history of empire that would presumably make him seem more powerful. It was also surrounded by rich farmland ($$$$) and was near the center of his new Empire. Was this purely pragmatic? Was it ideological (did he want to become the new ruler of Persia?) Did he just think it was a great place to party? All of these are valid questions.

We know he was planning to build a massive navy to attack and conquer Arabia. He had long conversations with his admiral, Nearchus, to this effect. He had previously been prevented from continuing his assault of India by the mutiny of his tired and homesick troops, so this could be seen as an extension of his wanderlust.

Finally, we know he had begun serious reforms of his army. He was attempting to send home his Macedonian and Greek veterans to replace them with native troops trained in Greek style. This was interpreted by his soldiers as an offense, and they mutinied, but he managed a classic bit of Alexander negotiation and left many of them going home happy and fat on conquest. This could be seen as a goal of his to syncretize the entire civilization (how else could one interpret the forced and/or encouraged mass-marriage of his officers to native Women?), but it could also have been pragmatic. Perhaps he was sick of his headstrong Greek/Macedonian soldiers, and wanted a blindly loyal Persian army who could fight like Greeks. We don't really get a chance to see how far his reforms went.

Whatever his actual goals were, during and after the Wars of the Diadochi, his successors had their own plans for how to administrate, Hellenize and/or syncretize the areas that they gained control over.

If you're interested in learning more about Alexander, read Alexander the Great by Robin Lane Fox. He gives the most balanced depiction of Alex's life and conquests that I've ever read. The author does his best to balance all of the sources of his life against each other to determine what the most likely truth was.