You'll want to head to Gorgrond.

Peckers is locked away in a cage in Stonemaul Arena. Head to the back of the arena into the big building called Kor'gall's Hovel, and veer left to find a variety of unusual creatures in various cages. If you've unlocked the Gladiator's Sanctum in Gorgrond, you should be familiar with the area -- if you haven't, this area does include a bonus objective you can easily complete while you're searching for your newfound friend. Peckers is located in a cage in the back left of the area, roughly 37,70 for those of you using coordinates. Simply click his cage to set him free, and he'll show up later on at your garrison -- apparently he's smart enough to know where you live.