Femtosecond laser written Bragg gratings have been written in exposed-core microstructured optical fibers with core diameters ranging from 2.7 µm to 12.5 µm and can be spliced to conventional single mode fiber. Writing a Bragg grating on an open core fiber allows for real-time refractive index based sensing, with a view to multiplexed biosensing. Smaller core fibers are shown both experimentally and theoretically to provide a higher sensitivity. A 7.5 µm core diameter fiber is shown to provide a good compromise between sensitivity and practicality and was used for monitoring the deposition of polyelectrolyte layers, an important first step in developing a biosensor.