To have a prayer of this working without having to stay in Zamyn Uud, you need speed from the time you land at Erlian airport until you get to the ZU train ticketing window.
Step 1: Transportation from airport to a "pre-" border where you get your jeep. The shuttle bus is cheaper but slower and takes you to the bus station in town, from whence you have to catch a taxi to the jeep-catching location. You'll eat up a precious extra 20 minutes doing it this way, longer if taxis by the bus station are all on lunch break and snoozing. Instead, from the airport, just take a taxi or private car (drivers usually sitting around offering). You can tell them "the border" which is as far as they are allowed to go. It's not really the border, as explained below. I got quotes of RMB 100 (total regardless of # of passengers) but you might be able to get it for RMB 80. For two of you by shuttle bus to town + shared taxi, the total would be more like RMB 50-60, so don't waste time over RMB 20-40! Elapsed time including getting out of airport terminal to this pre-border point, 50 minutes. The airport is 25 km from Erlian town center, which is a few km itself to this pre-border. It will now be about 14:00. Assuming your plan arrives on time.
Step 2: This place you will be dropped has a small rustic booth selling the Exit Permit for RMB 5. You must have one of these to get past Chinese immigration up the road. Buy.
Step 3: Watch the road for jeeps coming from Erlian that might have empty space. Often there's a local Chinese around helping flag them down and with the negotiation. Going rate seems to be in the RMB 40-50 per person range to get from your current location to Zamyn Uud. Payment normally at completion of journey. Hopefully you will not have to wait too long, lets say you get something within 15-20 minutes. It's now 14:20.
Step 4: Jeep will take you to Chinese Immigration Building and drop you while he has to take the jeep through Chinese Customs. You'll meet up with him on the other side. Get the license number and memorize driver's face! Inside, you'll fill out a departure card and hop in the fastest line which usually is Green Channel. The Red Channel is often very slow and full of Mongolians returning, loaded down with Chinese goods. It may take about 20 minutes to get through here if lines are short to moderate. Get stamped out of China and head out the back door to find your jeep. Let's say it's now 14:40. Note: This is why you don't want to take the public bus from Erlian to ZU if you are in a hurry: the bus has to get to the other side and then wait for ALL the passengers to clear and get back on. That waiting will sink your chances of making a same day train.
Step 5: Jeep will proceed over actual border and to the Mongolian Immigration Building where he'll drop you again and then do his Mongolian Customs shuffle. This is where there may be some time-snarfing waiting, especially if there are a lot of Mongolians returning at the same time. The Mongolians don't queue (even worse than the Chinese) and will push in, bring friends up, etc. You may have to be very aggressive if you want to get up to the Immigration agent! Let's be realistic and slightly optimistic and say it will take you 40 minutes. After getting stamped in, head out the back door to find your jeep. It is now 15:20. Same Note as above applies.
Step 6: Jeep will take you short distance to Z-U. Maybe he'll drop you off at ticket building (which I think is not actually at station building). Pay him the pre-agreed amount. It should now be about 15:30. Try to buy your ticket out for that afternoon's train. If lucky, you'll manage. If not, or if the entire border crossing process has taken so long that you miss the train, then try to get tickets for next morning's train, and find a place in ZU to stay for the night. They may or may not sell you tickets that afternoon for the following day.
It's a shame that this time of year, the Beijng-Erlian flight departs so late in the morning. When I did the border run April 2011, the flight was at 07:30 so all my hoop jumping including Mongolian Immigration, was done before noon.
If you do get stuck overnight in Z-U, or get exasperated during this silly crossing process, then just console yourself with how much money you're saving over the international train or the plane to UB.
Do report back when it's all done.
