John Cutler
I would not recommend a loco with outside cylinders as a first conversion project. To be fair, I have no experience of the Pug or the Peckett.
I suggest a good easy and reliable conversion is of the Bachmann 57xx or 8750 pannier tanks (not the 64xx).
These have a simple sprung centre axle which makes for good traction and pick-up.
This chassis is good enough for many P4ers.
Ultrascale sell a drop-in wheelset so you can avoid having to quarter the wheels.
See:
http://ultrascale.uk/sites/default/files/reviews/review01.pdf
The downsides are that the leadtime for delivery is between 3-6 months, the tyres are nickel silver (not so good for traction if your rail is of the same material), and the wheels are slightly smaller than the Bachmann or AGs, meaning that the brake gear can foul the trackwork if your permanent way is as atrocious as mine!
The Alan Gibson wheels have steel tyres and are cheaper but need crankpins fitting and quartering (I recommend the GW wheelpress for quartering).
A good alternative is the Bachmann Jinty.
Both Ultrascale and AG sell conversion sets.
Do not try and convert the Hornby Terrier as a first project!
My second easiest conversion is of the Hornby M7 with the AG wheel set.
Good Luck!