You can run a few µl of your sample on a native gel or agarose gel and visualise co-purified DNA by ethidium bromide/gel red staining.
If your protein is stable at high salt concentrations (and a lot of DNA-binding proteins are) you can use a high salt concentration (like 1 M) in the lysis buffer. Ion exchange is also a good way to get rid of DNA, in my experience. Lisa
