I can proceed a bit only when $K$ has characteristic $0$ and $|G| < \infty$. Since in this case, $KG$ is a finite dimensional semisimple algebra and any projective module is injective module. But I'm not sure how to systematically construct such faithful modules.
Any help or comments are welcomed!
One faithful injective left module over an arbitrary unital ring $R$ over a field $K$ is the module $N = \operatorname{Hom}_K(R,R)$ with the left action defined by $(r\phi)(s) = \phi(sr)$. $N$ is faithful because $R$ embeds into $N$ via right-multiplication. To show $N$ is injective, show the functors $\operatorname{Hom}_R(-,N)$ and $\operatorname{Hom}_K(-,R)$ are isomorphic: $R$ is an injective $K$-module (because any $K$-module is injective), so $N$ is an injective $R$-module.