Beam shaping offers many opportunities to both streamline and accelerate laser fabrication processes, closing the gap between lab research and large-scale manufacturing. In the field of embedded devices, a Bessel beam configuration allows for large volume engraving of transparent materials in a single laser pass. In this work, we take advantage of femtosecond Bessel beams with a length of 340 mu m and a diameter of 1 mu m to generate diffractive elements within three distinct optical glasses. This strategy represents a chemical-free and cost-effective alternative to the conventional manufacturing of holographic elements based on photoresist micro-patterning. Despite the different nonlinear effects taking place in each material, we report the successful fabrication of diffraction gratings operating at either normal or Bragg incidence, with efficiencies in the first combined order of up to 70%. Our experimental results show the potential of Bessel beams as a tool to produce buried light devices in a wide variety of glass materials.