Top-seeded Li defeated Germany's Annika Beck 6-1, 6-3, while fifth-seeded Peng advanced in a walkover when American Vania King withdrew with a right thigh injury.
Li was leading 6-1, 5-0 when Beck reeled off three straight games, but the former French Open champion regrouped to close out the match.
King said she began feeling pain in her leg during her win over second-seeded Sara Errani in the second round and pulled out to rest before the Australian Open, which begins on Jan. 13.
Saturday's final will be just the second in WTA history featuring two Chinese players. Li lost the first when she retired against Zheng Jie at Oeiras in 2006. Li has won five of six meetings against Peng.
“True, I have lost more than I’ve won against Li Na, so I’m just going to do my best,” Peng said. “Even though I’m playing pretty well at the moment, there’s no way to predict what will happen tomorrow...It’s always different playing against someone from the same country as you. I still have a chance. Let’s see what happens out on the court.”