La La Anthony Hits NYC Strip Club After Split from Carmelo

La La Anthony didn't let her split from Carmelo Anthony keep her from spending her weekend in one of NYC's top strip clubs ... but this time, it was more business than pleasure.

We've learned La La hit up Sapphire New York on Friday night -- but sources tell us she wasn't throwing around singles and partying it up, she was there to shoot footage for her new TV show.

La La is a producer on a docu-series called "Goal Diggers" -- about women in risque industries (strippers and video girls) who break out and become mainstream businesswomen.

We're told one of the women in the series works at Sapphire, so La La and some crew members hit up the club to shoot footage.

It just so happened her good friend French Montana was there (he was there to party) -- so they kicked it together inside the building.

We spoke with French in NYC on Monday who told us La La is doing so well since the split, he came up with a new nickname for her.