Composite membranes composed of a thin layer of THF clathrate hydrate formed on a porous alumina support membrane were prepared by various methods, namely, dipping, coating, and a combination of dipping and coating. The THF hydrate layer is expected to work as a molecular sieve for gas separation, where only gas molecules that can pass through the small vacant cages of the THF hydrate would permeate through the hydrate layer. In the dipping method, the support membrane was dipped in aqueous solution of THF, and the membrane was cooled to the temperature where the THF solution at the surface of the membrane can be converted into the THF hydrate layer. The composite membrane prepared by dipping showed unstable gas permeation fluxes, and no molecular sieving effect was achieved. In the coating method, an aqueous solution of THF was brushed on the surface of the support membrane a given number of times, and the THF solution layer was converted into the THF hydrate layer by cooling below the hydrate formation temperature. The composite membrane coated by brushing two times showed an unstable gas permeation flux, and the permeation flux of the membrane coated by brushing three times decreased significantly. The thickness of the THF hydrate layer can be controlled by the combination of dipping and coating. The permeation flux of helium was stabilized after curing the membrane for several hours at a temperature above that for hydrate formation. In this case, no permeation of sulfur hexafluoride was observed through the membrane; molecular sieving effect was achieved. However, the observed helium flux was too low for practical application.