In order to decrease the number of lenses and the weight of thermal imaging devices, specific optical design are required by using gradient refractive index (GRIN) elements transparent in the infrared waveband. While widely used for making visible GRIN lenses with silicate glasses, the ion exchange process is very limited when applied to chalcogenide glasses due to their low Tg and relatively weak mechanical properties. In this paper, we develop chalco-halide glasses based on alkali halide (NaI) addition in a highly covalent GeSe2-Ga2Se3 matrix, efficient for tailoring a significant and permanent change of refractive by ion exchange process between K+ and Na+. Optical and structural properties of the glass samples were measured showing a diffusion length reaching more than 2 mm and a Gaussian gradient of refractive index Δn of 4.5.10-2. The obtained GRIN lenses maintain an excellent transmission in the second (3-5 µm) and third (8-12 µm) atmospheric windows.