In this letter, we report on, for the first time, the successful femtosecond micro-fabrication of continuous waveguide-like channels in the photorefractive polymer consisting of the nonlinear chromophore 2,5-dimethyl-4-(p-nitrophenylazo)anisole (DMNPAA), the photosensitive compound 2,4,7-trinitro-9-flourenone (TNF), and the plasticiser N-ethylcarbazole (ECZ) all doped in the polymer matrix poly(methyl methacrylate) (PMMA). These channels are caused by the change in refractive index as a result of the localised heating of the polymer and therefore have an important potential for micro-photonic devices in future.