Protein size is 39 kDa and pI is 5.0.

I agree that knowing the charge of the protein is critical as it will help you determine the buffer system and resin to use for chromatography. I found Protein Purification: Principles and Practice by Robert K Scopes to be very helpful when I first started purifying proteins.

If the pI of your protein is 5.0, you should use a cation exchange chromatography with a buffer proposed previously (Hepes-KOH, MES with a pH = 6.5-7.5). You should also add Salt (50mM NaCl), DTT (5-10 mM) , Glycerol and EDTA (2mM) if your enzyme doesn't need bivalent ions for its activity. You should also try ammonium sulfate precipitation prior to the first chromatography.

If you know your protein PI, you should use ion exchange chromatography

Sometimes it's advisable to do multiple purification steps in order to get a purer enzyme (e.g. get rid of inhibitors from the cell). In our lab we first do a Ni-NTA purification (this requires the enzyme to have a hexahistidine tag at the N or C terminal). At this stage our prep is not very pure, so we then separate based on size through gel size exclusion. Size exclusion will increase your volume, so you will have to re-concentrate. An alternative is to do Ni-NTA purification and saturate the column, this will help in getting a purer preparation because being less binding sites available only the strongest binders will stick to the column. I do not know which organism you are expressing your enzyme in, but we use E. coli which has proteins that can stick to the Ni-NTA column, but saturation of the column helps getting rid of about 90%-100% them as established by SDS-PAGE. The enzyme is not as active as when we do also size esclusion, but still good enough for our purposes, and very convenient if you want to process multiple proteins at the same time (e.g. mutants of the enzyme), since size exclusion and re-concentration acn be time consuming.

I agree with the comments above, do use ion exchange chromatography, preferably by sephadex, but perform the partial purification earlier by ammonium sulphate precipitation. This will ensure the proper 2 step purification which is mostly enough for enzymes!