We present results from coarse grain molecular dynamics simulations of mixed model membranes consisting of saturated and unsaturated lipids together with cholesterol, in which lipid-anchored membrane proteins are embedded. The membrane proteins studied are the peripherally bound H-Ras, N-Ras, and Hedgehog, and the transmembrane peptides WALP and LAT. We provide a molecular view on how the presence and nature of these lipid anchors affects partitioning of the proteins between liquid-ordered and liquid-disordered domains. In addition, we probed the role of the ganglioside lipid GM1 on the protein sorting, showing formation of GM1-protein nano-domains that act as shuttles between the differently ordered membrane regions.