First stop: Shenyang to Luoyang, by plane or train. It is suggested that the train take K388 from Shenyang North Station to Chengdu, which is faster than the train at Shenyang Station100km, and the fare is cheap, and it is the starting station train. Visit Longmen Grottoes, Baima Temple and other scenic spots.
Second stop: Luoyang to Xi 'an. The trains from Luoyang to Xi 'an are intensive, about 5 hours. It is suggested to visit Xi 'an for 2 or 3 days, then take a train or bus from Xi 'an to Yulin, visit Wantong City and return to Xi 'an to continue westward.
Third stop: the train from Xi to Jiayuguan. The trains from Xi 'an to Jiayuguan are very dense, but the speed of each train varies greatly, and the running time varies from 15 hours to 23 hours. It is recommended to take the T-prefix train, or choose the train at Xi 'an Station. The train from Xi 'an to Jiayuguan passes through famous historical and cultural cities such as Jinchang, Wuwei and Zhangye. You can get off halfway and continue after sightseeing, especially Wuwei is worth visiting.
Jiayuguan is the western end of the Great Wall. Jiayuguan Guancheng and Diaobi are all places worth visiting.
Fourth stop: take a bus from Jiayuguan to Dunhuang, and the whole journey takes about 5 hours. Personally, I think this trip is more interesting than the train. The vast Gobi along the way is very shocking! On the way through Yumenguan and Guazhou, it is worth getting off for sightseeing.
End point: Dunhuang. The tour of Mogao Grottoes is in a hurry. After strict security check, the tour can't be enjoyed in detail under the guidance of the instructor, and usually ends in about 2 hours. It is suggested to visit Mingsha Mountain and Crescent Spring in the morning (the sunshine is not too strong in the morning), go to Leiyin Temple at noon and go to Mogao Grottoes in the afternoon.
I won't introduce the specific scenic spots. It seems that you already know something about the scenic spots in these places.
3, the cost can not be estimated, everyone's luxury and simplicity are different, others can not make a budget for you.