The Short Stories of Dorothy L. Sayers

Lord Peter Views The Body (1928)

The Abominable History of the Man with Copper Fingers
The Entertaining Episode of the Article in Question
The Fascinating Problem of Uncle Meleager's Will
The Fantastic Horror of the Cat in the Bag
The Unprincipled Affair of the Practical Joker
The Undignified Melodrama of the Bone of Contention
The Vindictive Story of the Footsteps that Ran
The Bibulous Business of a Matter of Taste
The Learned Adventure of the Dragon's Head
The Piscatorial Farce of the Stolen Stomach
The Unsolved Puzzle of the Man with No Face
The Adventurous Exploit of the Cave of Ali Baba

Hangman's Holiday (1933)

The Image in the Mirror (Lord Peter Wimsey)
The Incredible Elopement of Lord Peter Wimsey (Lord Peter Wimsey)
The Queen's Square (Lord Peter Wimsey)
The Necklace of Pearls (Lord Peter Wimsey)
The Poisoned Dow '08 (Montague Egg)
Sleuths on the Scent (Montague Egg)
Murder in the Morning (Montague Egg)
One Too Many (Montague Egg)
Murder at Pentecost (Montague Egg)
Maher-Shalal-Hashbaz (Montague Egg)
The Man Who Knew How (non-series)
The Fountain Plays (non-series)

In The Teeth of the Evidence (1939)

In the Teeth of the Evidence (Lord Peter Wimsey)
Absolutely Elsewhere (Lord Peter Wimsey)
A Shot At Goal (Montague Egg)
Dirt Cheap (Montague Egg)
Bitter Almonds (Montague Egg)
False Weight (Montague Egg)
The Professor's Manuscript (Montague Egg)
The Milk-Bottles (non-series, but features Hector Puncheon)
Dilemma (non-series)
An Arrow O'er the House (non-series)
Scrawns (non-series)
Nebuchadnzzar (non-series)
The Inspiration of Mr Budd (non-series)
Blood Sacrifice (non-series)
Suspicion (non-series)
The Leopard Lady (non-series)
The Cyprian Cat (non-series)

Striding Folly (1972)

Striding Folly
The Haunted Policeman
Talboys

Lord Peter (1972)

All the Lord Peter Wimsey stories listed above are contained in Lord Peter.

Older editions of Lord Peter also contain the following:

Sayers, Lord Peter and God. By Carolyn Heilbrun.
Greedy Night, A Parody. By E.C. Bentley.

Unfortunately, the current HarperPaperback edition contains neither of these pieces. However, it is not difficult to find the appropriate edition (generally the 1972 Avon edition) at a used bookstore or your local library.