The feasibility of directly incorporating lipase from Rhizopus in the interior of poly(vinyl chloride) ultrafiltration membranes during the phase inversion process for their manufacturing has been demonstrated. The obtained membranes used for plant oil hydrolysis have shown better time stability as compared with those of lipase immobilized by adsorption. The specific activity of entrapped lipase achieves values higher than those of the soluble one. The activity of immobilized lipase is strongly affected by the rate of removing fatty acids from the interior of the membrane.