In eukaryotic cells, a subset of proteins are attached to the external leaflet of the plasma membrane by a glycosylphosphatidylinositol (GPI) anchor. There is substantial evidence suggesting that these GPI-anchored proteins are clustered in sphingolipid-sterol microdomains or rafts. Since the precursors of these microdomain components are synthesized mainly in the endoplasmic reticulum, it is possible that microdomain assembly occurs during transport along the exocytic route. A sorting mechanism for GPI-anchored proteins using sphingolipid microdomains as selective platforms for vesicle budding has been proposed to operate at different steps in the secretory pathway. Here, we discuss this sorting model in the context of the data obtained from different biological and artificial systems, in addition to other particularities of the intracellular transport of the GPI-anchored proteins.