You could use both, one indicator for internal integrity (globulin for example) and on another channel using the peptide of interest. Furthermore, of Molecular weight standard

You could conjugate to BSA and run on the gel versus BSA or BSA-irrelevant peptide. You really need an anti serum to the peptide-conjugated to something else like KLH to be sure this works. Or build in an epitope tag in the peptide and use a commercial eg anti-flag mAb. Why do you want to show binding with a peptide in western immunoblot? It doesn't show a lot unless running against a lot of other peptides as it should be pure following synthesis.

If your goal is to demonstrate that the Western blot works by using the peptide as a positive control, but the molecular weight of the peptide is too small to see by SDS-PAGE, then you can try to conjugate it to a protein, as suggested by Jody Berry. How you do this depends on the sequence of the peptide. You don't want to conjugate it in a way that prevents the antibody from binding to it. Ideally, you would have the peptide synthesized with a linker (probably at the N- or C-terminus) and a reactive group such as a succinimidyl ester for reacting with lysine. Then react it with a suitably sized protein that you can buy in a lyophilized form without buffer (such as lysozyme or BSA) and that has the necessary residue to react. Nearly every protein has accessible lysine residues, but usually more than one, so you will want to be careful to keep the peptide-to-protein stoichiometry in the reaction below 1 to avoid multiple bands. Dissolve the protein and reactive peptide in 0.1M sodium bicarbonate at pH 8.0. Allow the reaction to occur for an hour, then quench it with SDS-PAGE sample buffer. Now you should have your positive control.

 conjugating it with another protein with mol wt larger than 10kDa should work.

Thank you everyone. This is really helpful.