This paper describes a new approach to model fuzzy sets using object-oriented programming techniques. Currently, the most frequently used method to model fuzzy sets is by using a pair of arrays to represent the set of ordered pairs, elements and their grades of membership. For continuous fuzzy sets, it is impossible to use infinite number of elements to model, therefore a limited number of array elements are used. Because the grade of membership can be calculated by a membership function, we introduced an approach that models fuzzy set using membership functions directly. Our new approach reduces memory required to model fuzzy sets. Furthermore, grades of membership are calculated dynamically only when needed. Compare with the approach mentioned before, our approach seems to offer advantages in memory space and computation time when modelling systems with complex continuous fuzzy sets.