Goat and second cheese whey from sheep’s milk are by-products of the manufacture of goat cheeses and whey cheeses from sheep. Due to their composition which, apart from water—about 92%—includes lactose, proteins, fat, and minerals, and the elevated volumes generated, these by-products constitute one of the main problems facing to cheese producers. Aiming to add value to those by-products, this study evaluates the efficiency of ultrafiltration/diafiltration (UF/DF) for the recovery of protein fraction, the most valuable component. For a daily production of 3500 and using the experimental results obtained in the UF/DF tests, a membrane installation was designed for valorization of protein fraction, which currently have no commercial value. A Cost–Benefit Analysis (CBA) and Sensitivity Analysis (SA) were performed to evaluate the profitability of installing that membrane unit to produce three new innovative products from the liquid whey protein concentrates (LWPC), namely food gels, protein concentrates in powder and whey cheeses with probiotics. It was possible to obtain LWPC of around 80% and 64% of crude protein, from second sheep cheese whey and goat cheese whey, respectively. From a survey of commercial values for the intended applications, the results of CBA and SA show that this system is economically viable in small/medium sized cheese dairies.