What is desired is probably impractical, as the separation would be very expensive, and inefficient. You would be far better off to put in a catalytic oxidizer and attempt some heat recovery from that, depending upon the process and the flow. However, without knowing anything about the process other than it is a furnace, it would be proper to consider that if you're losing much CH₄ your burner system may need to be revamped and tuned for greater efficiency. I really can't tell which option is best because you didn't provide any data on the amount of CH₄ in the exhaust gasses. If the CH₄ is low, you should probably consider fine tuning the burners first to see if you can get greater efficiency out of the furnace/boilers. Then, depending upon concentration you may want to investigate an thermal oxidizer with heat recovery, but look at the boilers first!