I'm visiting Urumqi, Kashgar, Dunhuang from 23 Jun to 5 Jul 2013.

Urumqi would have the temp range of 20C to 32C according to the past weather records. In most cases, it can be sunny. It may also shower suddenly, so you may need to prepare simple rainy gear.

Kashgar can be a little hot than U, with the highest temp of around 35C. Generally, it has large temp gap between daytime and nights. Even with that high temp, the lowest temp at nights may fall to 15C or around.

Dunhuang almost has the same condition as Kashgar.
Considering all, I suggest you take along both long-sleeved and short-sleeved shirts, shorts and a light jacket as well as an umbrella.