In this paper, we evaluate different thermal treatments in order to stabilize fiber Bragg gratings written by a femtosecond pulsed laser in specialty highly birefringent micro-structured optical fiber, targeting pressure monitoring at high pressure and high temperature environments. We have obtained a pressure sensitivity of 3.30 pm/bar up to 1400 bar and 290 °C. An effective thermal treatment has been experimentally implemented, yielding a nearly unchanged reflectivity at high temperature in combination with stable temperature and pressure readings: a standard deviation of 0.42 bar in the pressure reading was observed over 7 days at 280°C.