A process of dry heating alkaline powder containing whey protein (WP) and lactose is used to produce micro-particles that can trap large amounts of water and thus be used in many food applications as a thickening agent. The objective of this study was to optimise the yield of particles formed and the amount of water they trap as well as to minimise the heating duration. The parameters studied were the contents of WP and lactose, the pH, storage time at that pH, water activity (a w) of the powder, and the temperature and duration of dry heating. The best parameters to reach the objective were WP at 100 g/kg with 0.5 g lactose/10 g protein, adjusted and stored at pH 10 for 3 h, and dry heating at 120 °C for ca. 30 min at a w ¼ 0.33. Approximately 70% of the WP converted into wet particles that contained 96% water. This result can help advance large-scale production of particles in a multi-stage spray-dryer that uses an in-line heating fluidised bed.