We are going to transfer Ulaanbaatar-Beijing-Urumqi.

If you just have two hours, you will be in a hurry.
The terminals depends on airlines, so would you mind tell me which airlines do you choose to take?
Your transfer is a International-Domestic transfer.
The steps are:
Inspection & Quarantine, Exit and Entry Frontier Inspection - Baggage Claim - Customs Inspection - Going through Transfer Formalities - Security check - Waiting & Boarding.

Thank you for your helpful answer.
We have chosen that Air china in 2 flight. Should we take a baggage from arrival part and give again at the domestic departure part.
Is that link right one? (http://en.bcia.com.cn/guide/transfer_i_d.shtml)
I hope that just we follow the red dashed line in the map on this link and hope we don't need to switch Terminals, all the process only in the T3 right?

Yes, you just need to follow the red dashed line to finish your transfer.
For some air lines of Air China, it is no need to pick up your luggage at BJ airport if passengers have the connecting flight tickets, so for this luggage service, it is suggested to ask the airline company directly to confirm this issue.

Thank you. That was nice answer.