Is your protease over expressed? If yes, I hope that you prepared a construct of the proenzyme. Proteases can cleave themselves, usually one tries to purify the proenzyme and active the protease at the last minute.
If your protease is not over expressed, do you have any idea of its properties? One always try to find something unique about the protein they are purifying as a handle to approach purification. If you do not know anything about your protease then you may want to find out what type of protease it is with the casein hydrolysis assay you have. You may want to find out if it is inhibited by EDTA, N-ethylmaleimide or PMSF to find out if it is a metalloprotease, cysteine protease or serine protease. This may help you protect your protease against itself. Ion exchange chromatography is likely a good approach to initially process a sample with limited to no knowledge on the protein to purify.
Casein hydrolysis is not too specific, so how do you know that you are after a protease of interest?
if you don't know your protease isoelectric point, try to precipitate them in various pH then check for activity using casein substrate. After finding which precipitate works best, then you could purify them (the specific precipitate from that pH) further using affinity resin as suggested by Steingrimur.
The first question is :- is your protease intracellular or extracellular?
Usually when you deal with bacterial extracellular ,you can start with ammonium sulfate pption. The steps follow is not fixed what is suitable for one is not so for other so usually it is a matter of try &find the suitable way .yes the affinity chromatography is superior to the others but sometime you have to prepare the suitable resin yourself ,relying on which type of protease you are dealing with.Ihe other thing i want to mention is that using azo -casein rather than casein is much easier .Good luck