Over the last century, different methodologies have been used to separate the main components of whey, mainly protein from lactose. However, these protocols were not efficient enough for an industrial scale due to their energy consumption, among other factors. At this point, membranes provide a suitable and efficient alternative for several food component separations, and the different uses of existing membranes. Several methods such as microfiltration, ultrafiltration, and nanofiltration, among others, focus on whey by-products, depending on the molecular weight cut-off membrane. In this chapter, the ultrafiltration protocol for the separation of different components of goat whey, such as protein and lactose, is described. We have detailed the protocol step by step, highlighting the key factors to optimize the efficiency of the process, as well as possible solutions to the different problems encountered.