There's definitely a point in Murder Must Advertise where Lord Peter goes and has dinner with Harriet, and it's covered in a sentence or two without any details of the dinner itself because the narrator says it's not relevant to the story at hand.

However, I think -- I can't be bothered to actually get up and find my copy and find the reference -- I think it's at least strongly implied that Peter goes to the dinner as Peter, specifically because it's fairly late in the book and he wants to be himself for a bit.