We demonstrate second harmonic generations in quasi-phase matched cladding waveguide structures fabricated by direct femtosecond laser writing. Waveguides with circular section are inscribed in z-cut MgO doped stoichiometric lithium tantalate with fan-out χ(2) grating structures. The ferroelectric domain-inverted fan-out grating period seamlessly varies from 7.5 to 8.2 µm. Seven individual waveguides with step changed periods are fabricated. The minimum insertion loss of the cladding waveguides is about 0.54 dB at wavelength of 1064 nm. Temperature tuned second harmonic generations of 1064 nm for different quasi phase matched grating periods are demonstrated by using continuous wave and pulsed laser. A comparable normalized conversion efficiency of 3.55%/(W·cm2) is obtained for 7.91 µm period. The maximum power conversion efficiency of 54.3% was obtained under a pump peak power of 282 W.