You can catch a train from Beijing, stop in Mongolia and continue all the way to Moscow. But then flights from Moscow are pretty expensive. A cheap way out of Russia is by bus to either Helsinki or Tallinn.

Quite simply the train is much cheaper than a flight, thats what you'll see when you're on the train, locals who would love to fly but can't afford it.

The more you break your journey the more the overall train ticket cost will be. Its cheapest to go from Beijing to Moscow non-stop. But then you would miss out on fantastic places like Mongolia and Siberia.

All that said if time is an issue you should fly. If you want to make the train worthwile you need 2 1/2 - 3 weeks.