Exfoliation, namely, the peeling of layered materials down to a single unit-cell thin foil, opens promising avenues to fabricate novel electronic materials. New properties and original functionalities emerge in the single and few layer configurations of a number of layered compounds, in particular in transition metal dichalcogenides. However, many of these thin exfoliated materials are very sensitive to ambient conditions impeding the exploration of this new and fascinating parameter space. Here we describe a method of mechanical exfoliation in ultra-high vacuum (UHV). This technique is easily adaptable to any UHV system and allows preparing and studying air sensitive nanoflakes in situ. We present the basic design and proof-of-concept scanning tunneling microscopy imaging of VSe2 nanoflakes.