Heavy metal oxide (HMO) glasses include, among others, compound oxide glasses with high Bi- and/or Pb-oxide content. These materials are very attractive for photonic applications because they show phonon energies lower than those of silicates or borates, which provides them with an extended transparency interval in the mid infrared (lambda less than or equal to 7-8 mum). This feature makes them specially suitable for infrared transmission applications. In addition, they have high density, a relatively low glass transition temperature, and an excellent chemical and physical stability. However, they show relatively small energy band-gaps (2-3 eV) and large linear (n(0) greater than or equal to 2) and non-linear refractive indices (n(2) approximate to 10(-19)-10(-18) m(2)/W), which makes their processing with ultrashort pulses to become a challenge. This work analyses different issues inherent to the production of waveguides in these materials by direct writing with fs laser pulses. We will show, as an example, the feasibility of writing efficient waveguides in 35PbO . 35Bi(2)O(3) . 15Ga(2)O(3) . 15 GeO2 HMO glass. The comparison of the behavior of this material with glasses showing lower linear and non-linear refractive indices allows to conclude that direct fs-laser waveguide writing with peak powers above the critical self-focusing threshold is feasible. Different means to control the guided mode distribution under this condition are presented.