The establishment of thermal diffusion in an Ar-Kr Lennard-Jones mixture is investigated via dynamical non equilibrium molecular dynamics [G. Ciccotti, G. Jacucci, Phys. Rev. Lett. 35, 789 (1975)]. We observe, in particular, the evolution of the density and temperature fields of the system following the onset of the thermal gradient. In stationary conditions, we also compute the Soret coefficient of the mixture. This study confirms that dynamical non equilibrium molecular dynamics is an effective tool to gather information on transient phenomena, even though the full evolution of the mass and energy fluxes associated to the temperature and density fields requires, in this case, a more substantial numerical effort than the one employed