We report on the etching of graphene devices with a helium ion beam, including in situ electrical measurement during lithography. The etching process can be used to nanostructure and electrically isolate different regions in a graphene device, as demonstrated by etching a channel in a suspended graphene device with etched gaps down to about 10 nm. Graphene devices on silicon dioxide (SiO(2)) substrates etch with lower He ion doses and are found to have a residual conductivity after etching, which we attribute to contamination by hydrocarbons.