Volume x-ray gratings consisting of a multilayer coating deposited on a blazed substrate can diffract with very high efficiency, even in high orders if diffraction conditions in-plane (grating) and out-of-plane (Bragg multilayer) are met simultaneously. This remarkable property, however, depends critically on the ability to create a structure with near atomic perfection. In this Letter we report on a method to produce these structures. We report measurements that show, for a 5000l/mm grating diffracting in the third order, a diffraction efficiency of 37.6% at a wavelength of 13.6nm. This work now shows a direct route to achieving high diffraction efficiency in high order at wavelengths throughout the soft x-ray energy range.