We have fabricated and measured single domain wall magnetoresistance devices with sub-20 nm gap widths using a novel combination of electron beam lithography and helium ion beam milling. The measurement wires and external profile of the spin valve are fabricated by electron beam lithography and lift-off. The critical bridge structure is created using helium ion beam milling, enabling the formation of a thinner gap (and so a narrower domain wall) than that which is possible with electron beam techniques alone. Four-point probe resistance measurements and scanning electron microscopy are used to characterize the milled structures and optimize the He ion dose. Successful operation of the device as a spin valve is demonstrated, with a 0.2% resistance change as the external magnetic field is cycled. The helium ion beam milling efficiency as extracted from electrical resistance measurements is 0.044 atoms/ion, about half the theoretical value. The gap in the device is limited to a maximum of 20 nm with this technique due to sub-surface swelling caused by injected ions which can induce catastrophic failure in the device. The fine patterning capabilities of the helium ion microscope milling technique indicate that sub-5 nm constriction widths could be possible.