The fabrication of diffraction gratings by ultrashort direct laser writing in poly-hydroxyethyl-methacrylate (PHEMA) polymers used as soft contact lenses is reported. Diffraction gratings were inscribed by focusing laser radiation 100 µm underneath the surface of the samples. Low- and high-repetition rate Ti:sapphire lasers with 120 fs pulsewidth working at 1 kHz and 80 MHz respectively were used to assess the role of thermal accumulation on microstructural and optical characteristics. Periodic patterns were produced for different values of repetition rate, pulse energy, laser wavelength, distance between tracks, and scanning speed. Compositional and structural modifications of the processed areas were studied by micro-Raman spectroscopy showing that under certain parameters, thermal accumulation may result in local densification. Far-field diffraction patterns were recorded for the produced gratings to assess the refractive index change induced in the processed areas.