If your protein was prepped with any reductant in the buffer, make sure you dialyse it out. Usually 2 - 10 mM H2O2 is sufficient. Incubate for around 30 minutes. If you have too much H2O2 or incubate for too long, you might get non-native disulphides - usually seen as multiple bands on the gel. So, I usually start by doing a concentration range of H2O2 and try different incubation times. After oxidation, check your protein by denaturing PAGE with no reductant in the loading buffer. Usually intra-molucular disulphides will make the protein compact and you can see this as a difference in mobility on the gel. If you are after inter-molecular disulphides then you will look for multimers. Good luck!
What is the goal of your experiment: oxidizing all methionines present? Or other amino acids too? Methionines tend to require different concentrations/reaction times to become fully oxidized (if at all..) due to the extent these are exposed to solvent. If you're looking to (also) oxidize other residues, such as tryptophan, it might be better to consider exposure to UV light.