Angel, the membranes are the nictitating membranes, otherwise called the 'third eyelid' which many mammals have that do not have fingers on the ends of their limbs. The purpose of the membrane is to sweep, like a windshield wiper, across the globe of the eyeball to sweep off small particles or 'matter'.
If they are puffy or inflamed-looking, seem 'stuck' in place, or if the eye is exuding pus or lots of tears, I would certainly schedule an appointment with the veterinarian. Sometimes the nictitating membrane will become prominent and visible when the animal needs a parasite workup.
So yes, I'd call the vet -- he or she is really the only one who can get a definitive finding on this. -- Dr. Deb