The High Energy Transmission Grating spectrometer (HETG) on the Advanced X-ray Astrophysics Facility (AXAF) requires the fabrication and assembly of hundreds of large area (approximately equals 6 cm2), low-distortion, ultra-fine-period transmission gratings efficient in the 0.4-10 keV band ((lambda) equals 1.2-30 angstroms). The spectrometer requires two types of gratings: Medium Energy Gratings (MEG), which have a period of 0.4 micrometers and consist of gold bars 0.4 micrometers thick, and High Energy Gratings (HEG), which have a period of 0.2 micrometers and consist of gold bars 0.7 micrometers thick. Both types are supported by 0.5-1.0 micrometers -thick polyimide membranes. The gratings are fabricated using a variety of techniques including interference lithography, tri-level resist processing, reactive-ion etching, and gold microplating. An earlier approach which utilized x-ray lithography has been abandoned. Recent efforts have focussed on improving the yield and robustness of the many complicated fabrication steps, and improving the profile of the grating bars. We present details of the fabrication procedure and discuss the issues associated with developing an optimal fabrication process.