How to go to Dunhuang from Urumqi?

Hi, you may start your trip from Urumqi and then go to Turpan. From Turpan, you can take high-speed train to Dunhuang. The rest of the route you listed is good.

Hi,
As John said you ca go to Turpan and stay overnight next morning you could take high speed train (only seat available), takes 4:30 hours to Liu yuan and take another vehicle to Dunhuang, takes 3hours. also you can take night sleeper train to Liuyuan (soft sleeper/hard sleeper), takes about 8 hours. From Dunuang you can take train to Lanzhou (not bullet train).

So your itinearary can be made:
D1. arrive to Urumqi
D2. day trip to Heavenly lake, Grand bazzar
D3. Urumqi - Turpan, visit karez underground water system, Jiao he ruins, stay in Turpan
D4, visit Flaming mountian, Toytrain to uk village, in the late afternoon take a night train to Liu yuan

or
D3. Urumqi -Turpan, visit karez, Jiao he ruins, Imin minaret, Flaming mountain, Toyuk village ( this is a bit rush but you can make it )
D4. in the morning take a high speed train to Liu Yuan.

good luck!