Ulanbator the capital of Mongolia, was my destination for my visa run from Hohhot. I had got my Mongolian visa at the Mongolian visa office in Hohhot before departing for Erlianhot, on the Chinese side of the border. There I purchased an international train ticket to Jamin Ude, the first town across the border. I stayed on the train by extending my travel to UB by buying another ticket @ Mongolian prices, from JU to UB, much cheaper than buying a ticket from Erlianhot to UB! The Chinese visa office in UB were fast. And there weren't long queues outside. But that was a good few years ago.

I would imagine that is the best option.

As things change in China (as you know well) whether it can be done there anymore is anyones guess, esp with the new visa rules.