We have previously introduced an anisotropic leaky-mode modulator as a waveguide-based, acousto-optic solution for spatial light modulation in holographic video display systems. Waveguide fabrication for these and similar surface acoustic wave devices relies on proton exchange of a lithium niobate substrate, which involves the immersion of the substrate in an acid melt. While simple and effective, waveguide depth and index profiles resulting from proton exchange are often non-uniform over the device length or inconsistent between waveguides fabricated at different times using the same melt and annealing parameters. In contrast to proton exchange, direct writing of waveguides has the appeal of simplifying fabrication (as these methods are inherently maskless) and the potential of fine and consistent control over waveguide depth and index profiles. In this paper, we explore femtosecond laser micromachining as an alternative to proton exchange in the fabrication of waveguides for anisotropic leaky-mode modulators.