The objective of this work was to select the most suitable procedure to immobilize lipase from Penicillium camembertii (Lipase G). Different techniques and supports were evaluated, including physical adsorption on hydrophobic supports octyl-agarose, poly(hydroxybutyrate) and Amberlite resin XAD-4; ionic adsorption on the anionic exchange resin MANAE-agarose and covalent attachment on glyoxyl-agarose, MANAE-agarose cross-linked with glutaraldehyde, MANAE-agarose-glutaraldehyde, and epoxy-silica-polyvinyl alcohol composite. Among the tested protocols, the highest hydrolytic activity (128.2 ± 8.10 IU·g−1 of support) was achieved when the lipase was immobilized on epoxy-SiO2-PVA using hexane as coupling medium. Lipase immobilized by ionic adsorption on MANAE-agarose also gave satisfactory result, attaining 55.6 ± 2.60 IU·g−1 of support. In this procedure, the maximum loading of immobilized enzyme was 9.3 mg·g−1 of gel, and the highest activity (68.8 ± 2.70 IU·g−1 of support) was obtained when 20 mg of protein·g−1 was offered. Immobilization carried out in aqueous medium by physical adsorption on hydrophobic supports and covalent attachment on MANAE-agarose-glutaraldehyde and glyoxyl-agarose was shown to be unfeasible for Lipase G. Thermal stability tests revealed that the immobilized derivative on epoxy-SiO2-PVA composite using hexane as coupling medium had a slight higher thermal stability than the free lipase.