Is there any web page where I can book my visit to Dunhuang Mogao caves and exh. centre?

Yes, there is a website exclusively for the tickets booking. But as I know, the website has no English version, so you may ask your Chinese friends or a travel agency to help you.

You should book the tickets in advance for one or two days.

As for the Yulin Cave, about 170 km far from Dunhuang, you can take a train or bus to Guazhou County first. Then take a taxi to the destination.

By the way, people who visited the Mogao Cave seldom go to the Yulin Cave, for they are similar, and the former one is more splendid and worthwhile.