The only choice that would actually be useful in improving the purity of a protein sample would be column chromatography. It is possible to attach a specific ligand to your protein of interest to help separate it from a mixture via this method.

SDS-PAGE results in a separated, but denatured, protein sample. Detergents used in this process damage the protein structure, making it impossible to retain the native state. Southern blotting is a technique used to identify specific sequences of DNA in a sample and has nothing to do with increasing the purity of a protein sample.