I've given this a bit of thought in the past two days. Here are some ideas:
For extract, just use whey and water to your initial boil water, then follow recipe as normal adding extract, hops, etc.
For all grain, try several different avenues; mash with whey, add whey to wort before boil, add whey to boiled wort in fermenter as top-off.
The most interesting is probably the mash. I have heard lactose doesn't convert and should be washed into your initial wort during the sparge. How it changes the mash is unknown. Your efficiency may be lower if it affects the enzyme action.
Adding whey as top-off water in the fermenter is probably most like adding lactose to a milk stout. Both methods will probably increase the sweetness of the beer and your gravity readings will need to take this into account.
Let us know what you do and how it comes out.