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!