Hello! I have never worked with lipids before, but they were interferents in my analyses with fish and mussels. I removed them by using Cleanascite, a special detergent that binds only to lipids. Perhaps you could do a cold acetone precipitation to get only proteins, then precipitate lipids with cleanascite in order to analyze by MS, perhaps this would be an easy clean up step. Sorry I couldn´t be of more help. :) Cheers!
if the interaction is strong enough you can purify your protein and try to analyze the lipids after extraction (e.g. albumins strong affinity to FAs).
For weak interactions or interactions with membrane-integrated lipids u can try to perform "lipid overlay" experiments (http://www.nature.com/articles/srep09363/figures/4).