If you are already at PEK, then yes, take another flight to SHE.

That said, if you are already in the city, high speed rail (HSR) may be faster:

1) no need to get to the train station 2 hours+ prior to departure
2) much less prone to delays (Chinese military can shut down airspace, especially at PEK, at their choosing)
3) generally you would arrive much closer to the city from the train station than airport

If you'd opt for the HSR from PEK to SHE, I would recommend spending the extra $ for first class (vs. second class). If you really want to splurge, then you can also opt for superior class (not all HSRs have them) or business class. (business class > superior class > first class > second class)