Clothing/Shoes/Weather Gear: If you're travelling to Dunhuang during the winter months, remember that there is no such thing as "underpacking"! Bring your warmest, warmest long johns, down jackets, ear muffs, socks-- then borrow your Aunt Mildred's/Uncle Vinnie's set of winter clothes too!
If possible, purchase battery-operated mittens and socks because temperatures can dip as low as -25 Celsius in January!
Luggage and bags: In Mogao Cave, you can rent a torch. The torch you bring yourself is usually not as powerful as the torch they provid. In order to see the paint, you need very powerful torches, the best way is to rent one.
Photo Equipment: Take care of your camera on MingSha hills. If they fall into the sand, they will be damaged.
Luggage and bags: When I visited Chine there was 2 kinds of money:
1.- The normal YUAN, used by the locals.
2.- The RENMINS or "tourist money", used only by tourists.
With this last one you could buy things in "Friendship Stores" and was the only one you were "officially" allowed to change.
But of course there was black market, so U changed yuans to pay in restaurants, little shops and so...