Let $f,g:\mathbb R \to \mathbb C$ be nice functions so that their convolution make sense.
My question: Is it possible to choose $0\neq g\in C_{c}^{\infty}(\mathbb R)$ (= the space of smooth functions with compact support) so that $g(f\ast h)= gf \ast gh$? Or atleast: $|g(f\ast h)| \leq C |gf \ast gh|$ for some constant $C$? Or $g(f\ast h)= gf \ast h$?
Edit: Let $f,h \in L^{p}(\mathbb R)\cap C_{0}(\mathbb R), (2\leq p \leq \infty),$ where $C_{0}(\mathbb R)$ is the space of continuous functions vanishing at infinity.
Or even if we can choose $g=g_{1}g_{2}$ so that $g(f\ast h)= g_{1}f \ast g_{2}h$ for $g_{1}, g_{2}\in C_{c}^{\infty}(\mathbb R)$ is also o.k.($g_{1}, g_{2}$ can be depends on $f$ and $h$)
First of all, I don't really understand why you assume $f,h\in L^{p}\left(\mathbb{R}\right)\cap C_{0}\left(\mathbb{R}\right)$ with $p\in\left[2,\infty\right]$, since in general the convolution $f\ast h$ will not be well-defined with these assumptions, consider e.g. $$ f\left(x\right)=h\left(-x\right)=\frac{1}{\ln x}\cdot\chi_{\left(e,\infty\right)}\left(x\right), $$ suitably modified on $\left(-10,10\right)$ to make it continuous. For $x<0$, this yields $$ \int\left|f\left(y\right)h\left(x-y\right)\right|\, dy\geq\int_{\left(1000,\infty\right)}\frac{1}{\ln y}\frac{1}{\ln\left(y-x\right)}\, dy=\infty. $$
Anyway, if $f,h$ have compact support, let $K_{1}:={\rm supp}\, f$ and $K_{2}:={\rm supp}\, h$ as well as $K_{3}:=K_{1}+K_{2}$. Since $f,h$ have compact support, we have $f,h\in C_{c}\left(\mathbb{R}\right)$. Any $x\in\mathbb{R}$ with $0\neq f\ast h\left(x\right)$ satisfies $$ 0\neq f\ast h\left(x\right)=\int f\left(y\right)\cdot h\left(x-y\right)\, dy, $$ so that there is some $y\in\mathbb{R}$ with $y\in K_{1}$ and $x-y\in K_{2}$. Hence, $x=\left(x-y\right)+y\in K_{2}+K_{1}$, i.e. ${\rm supp}\left(f\ast h\right)\subset K_{1}+K_{2}$.
Now, choose any $g\in C_{c}^{\infty}\left(\mathbb{R}\right)$ with $g\equiv1$ on $K_{1}\cup K_{2}\cup\left(K_{1}+K_{2}\right)$. This implies $$ g\cdot\left(f\ast h\right)=f\ast h=\left(gf\right)\ast\left(gh\right), $$ since $g\equiv1$ on the supports of all involved functions.
Finally, I think the claim is false in general. To see this, let $$ f\left(x\right)=h\left(x\right)=e^{-x^{2}} $$ for $x\in\mathbb{R}$. Then $f,h\in L^{p}\left(\mathbb{R}\right)\cap C_{0}\left(\mathbb{R}\right)$ for all $p\in\left(0,\infty\right]$. Now assume that there is some $g\in C_{c}^{\infty}\left(\mathbb{R}\right)$ with $$ g\cdot\left(f\ast h\right)=\left(gf\right)\ast\left(gh\right). $$
Note that $f\ast h\left(x\right)=\int f\left(y\right)\cdot h\left(x-y\right)\, dy>0$ for all $x\in\mathbb{R}$, since the integrand is everywhere positive. Thus, the support of the left-hand side is ${\rm supp}\, g$.
By the Titchmarsh convolution theorem (see http://en.wikipedia.org/wiki/Titchmarsh_convolution_theorem ; note that if you require $g\geq0$, the following is clear and we do not have to invoke that theorem), we have \begin{eqnarray*} \inf\left[{\rm supp}\, g\right] & = & \inf\left[{\rm supp}\left(gf\right)\ast\left(gh\right)\right]\\ & = & \inf\left[{\rm supp}\left(gf\right)\right]+\inf\left[{\rm supp}\left(gh\right)\right]\\ & = & \inf\left({\rm supp}\, g\right)+\inf\left({\rm supp}\, g\right)\\ & = & 2\cdot\inf\left({\rm supp}\, g\right), \end{eqnarray*} which implies $$ \inf\left[{\rm supp}\, g\right]=0. $$ The same statement holds with "$\sup$" instead of "$\inf$", i.e. $\sup\left[{\rm supp}\, g\right]=0$. But this means ${\rm supp}\, g\subset\left\{ 0\right\} $, in contradiction to $g\neq0$ and $g\in C_{c}^{\infty}\left(\mathbb{R}\right)$.
Of course, it could still be possible that one can choose $g$ with $$ \left|g\cdot\left(f\ast h\right)\right|\lesssim\left|\left(gf\right)\ast\left(gh\right)\right|. $$ I will have to think about that.