Connecting flight at KMG
 

I am flying to Shanghai with a connection at KMG.

1. Will my immigration be at KMG?
2. My tickets are booked on the same PNR with the same airline. Will I have to get my luggage and check it back again at KMG or will the airline handle it? I am flying China Eastern.
3. Is there any exit immigration? I am flying the same route on the way back.

KMG SHA is a domestic flight, but you might be able check your luggage to SHA.

so, will my immigration be at KMG? if so, then won't i also have to put my luggage through customs? i am not very sure about how this works...

I did a transit recently on MU BKK-KMG-XMN, and I presume you will follow the same procedures.

1) Luggage was checked all the way from BKK-XMN,
2) When deboarding the plane in KMG, I was met my MU staff who asked me to fill out a contact form with my cell phone number
so that they could contact me if there was any problems with customs; otherwise they would transfer the bags without my presence.
3) I went through arrival immigration, then proceeded to domestic departures and security check.
4) I was not contacted about my luggage, and picked it up on arrival in XMN.

I remember the last time I went to China with connecting flights, it was a long long ride felt like years.

That was really helpful. My concern though, is that I will probably not have a China SIM while deboarding at KMG. (I think I will be able to buy it after landing at KMG airport?)

I don't use China SIM, I just gave my North American cell phone number which works world-wide.