I think your confusion is stemming from the fact that the membrane phospholipids are amphiphilic (have both hydrophobic and lipophilic properties)-i.e. a hydrophilic head and a hydrophobic tail. However the hydrophilic heads are bypassed pretty easily by hydrophobic substances just based on their relative size (the polar heads are quite small and usually just move out the way, allowing the hydrophobic substance to pass through). The only way the substance would be trapped in or on the membrane is if it was anchored to the membrane somehow (either by being tethered to the membrane itself or having a bond to a protein tethered to the membrane).
Of course, when moving around freely in aqueous media, many hydrophobic substances need carrier proteins. An example of this is steroid hormones, which need protein carriers called "globulins" to travel through the bloodstream (an aqueous environment). Once the steroids arrive at their target cells, however, they disband from the globulin and can freely diffuse through the cell. Once inside the cell, they bind to other proteins that allow for the effector function of the hormone.