Hi, I'm looking for any suggestion about visiting Yunnan in February-March 2016.

Take Shangri-La as an example, the temperature may range from 20 F to 40 in February and 30 F to 50 F in March. It will be cold. The possibility of snow will be high. You need to bring winter clothes, such as down jackets, sweaters, overcoats and boots to keep warm.
Some roads would be influenced by the weather conditions, especailly these to the mountainious areas. If possible, you are suggested to hire a private car to the destination directly.