Do I need transit visa when I fly with west china airlines from Bangkok to Chicago?

Actually, you didn't mention the length of your layover in Hefei and Shanghai! Anyway, if your entire transit through mainland China, from your first scheduled arrival in Kunming until your last scheduled departure from Shanghai is less than 24 hours, you are perfectly eligible for 24 hours visa free transit and you don't need any kind of visa. Please, just take a look at your itinerary and you can return here to supply with additional information. By the way, I assume that you will be flying China Eastern and not West Air :).

Thanks for your answer. You are right fir the airlines.
We will arrive at Kunming at 01.00 and leave from Shanghai at 11.40.
It is not transit more than 24 hiurs, right?
So we need a transit vesa as you suggest.
Best regards
Phongsak

Sorry to write wrong.
We dont need a transit vesa, right?

No, you don't. You are definitely covered by 24 hours visa free transit. Enjoy your travel.

Thank you