Late‐season applications of foliar N have the potential to increase protein content in hard red winter (HRW) wheat (Triticum aestivum L.), but the optimal N management strategy and economics of this decision have yet to be determined for the U.S. southern Great Plains. This study was conducted to determine the expected net return from HRW wheat managed for enhanced protein and marketed to receive a protein premium. Field experiments were conducted during the 2011 to 2013 harvest years at two Oklahoma locations to estimate the grain yield and protein content response of HRW wheat to N source (urea ammonium nitrate [UAN] or a low salt, controlled release [LSCR] specialty N), N timing (flag leaf or post‐flowering), and N rate (0, 7, 13, or 27 kg N ha−1). Late‐season N treatments significantly influenced protein, but did not significantly increase or decrease grain yield. However, the returns to protein management were US$10 to $194 ha−1 less than treatments that did not receive late‐season foliar N. Sensitivity analysis indicated that protein management could be profitable if wheat prices increase, but changes in N prices had only small impacts on net returns. Breakeven protein premiums ranged from $0.014 to $0.020 kg−1 suggesting the need to produce wheat with 12 to 13% protein content. Results from this study indicate that the ability to consistently achieve HRW wheat with this level of protein is limited. Therefore, to economically manage HRW wheat for protein content in the southern Great Plains will likely require within‐year/location‐specific N management.Core Ideas Late‐season foliar N applications may increase wheat grain protein percentage. Late‐season foliar N applications are costly. Southern Plains producers do not routinely receive a premium for high protein wheat. Additional returns were insufficient to offset the additional cost.