If you want convenience then I would say probably go for one of the International connections into KMG, which would be either Thai via BKK, Korean Air via ICN, or Dragon Air/Cathay via HKG. These will all allow you to check luggage all the way to KMG from your point of origin and you don't need to clear customs until you arrive in KMG. If you connect in PEK or PVG you need to claim luggage, clear customs and then recheck into domestic flight. This way may be cheaper however.