Oh, he was in Castle Black IIRC. It's a little blurry for me, but I'm almost certain he was discussing with the previous Lord Commander or Stannis (or was it the Bolton guy...? I just know Littlefinger was there xD) and this person he was talking with had seen the message Cersei sent for him. He revealed to Sansa he planned to get her married to Ramsey after they arrived at the doorsteps of Winterfell, then he expressed his plan of giving it back to her cos Stannis was on his way to Kings Landing and he would surely pass by Winterfell, claiming it from the Boltons in the process. Upon arriving back in Kings Landing, Littlefinger finally revealed to Cersei he knew where Sansa was (but never mentioned he had her, not that I remember) and the fact she was with the Boltons was a reason for her to make a move against them while they were still in the North, given her hate for Sansa and anything Stark related. He didn't think it was a good idea to move the Lannister armies to the North because of the distance and the weather, so Littlefinger pointed out he had control over the Vale and that his armies were trained to fight during the winter, so she said he could make the attack instead and that she would name him Warden of the North after both Bolton and Baratheon were down.

The thing with Sansa and Littlefinger is that he knew she was in danger after the accusations against Tyrion and he had to protect her because she was Catelyn's daughter, but obviously he also had been playing his own game. The move with Lysa was most likely calculated, even her death, and maybe he took Sansa there to make her jealous. Getting her involved in his own game probably came later, as he moves his pieces as the opponent moves theirs. As much as he likes her, he always puts himself first, so the whole "name me Warden of the North" thing could've been planned not too long after he came to know the Boltons were in Winterfell.

And yeah, I believe Littlefinger has been keeping in touch with Cersei ever since he left Kings Landing. The thing with Varys is also cos he was somewhat close to Tyrion and cos he had many faces of which no one knew of, whilst everyone Littlefinger couldn't be trusted. If I'm not mistaken she has also been after him after the Purple Wedding, idr why exactly.

(Np :3 I also like discussing it, it's fun x3)