Continuous blood purification technology such as hemodiafiltration has been used worldwide for saving patients suffering from severe diseases or organ function failure, especially in the intensive care unit and emergency setting. The filters as core devices are commonly made of polymer materials as hollow fiber membranes. However, the membrane is often inductively blocked by blood clot formation due to its interactions with blood components. Heparin is the anticoagulant often used in clinical practice for anti-coagulation. Recently, heparin is also employed to modify the hollow fiber membranes either chemically or physically to improve the filtration performance. This review summarizes recent advances in methodology for surface heparinization of such hollow fiber membranes, and their filtration performance improvement. The review also provides expert opinions for further research in this rapidly expanding field.