You're basically doing the reverse of the trip I took a few years ago. It's really a great route although I went to the Pakistani border instead of seeing the towns between Kashgar and Urumqi. Would love to go back some day to do the circuit south of Kashgar.

The "Singing Sand Mountain" sand dunes outside Dunhuang are awesome. I had very low expectations of Dunhuang when I went (and had cancelled an even earlier trip because I thought seeing some cave paintings would be boring), but it was definitely one of the more interesting places I have been to in China. The grottoes are in amazing condition. If nothing else, you can claim to have visited the second?third? tallest freestanding Buddha statue in the world (it used to be the third?fourth? tallest but you know what happened in Afghanistan).

Good call that you are staying an extra day to see the caves. If you haven't gone to the caves yet, my recommendation is to show up and not speak a word of Mandarin. Not sure if the admissions/conservation office still requires each visitor to join a tour. If so, you want to avoid the Mandarin speaking tour(s). In other words, you want to avoid the tour with 100 people! And the best way to do that is to speak some other language. As the caves themselves have a maximum capacity at any given time (and given day for that matter), you won't have a chance to appreciate what you are looking at. In all likelihood, you may be the only English speakers at that time of day and may luck out with your own personal guide for a small fee.