We report, in full detail, the experimental fabrication process of a coaxial plasmonic metamaterial which is designed to operate in the UV/visible part of the spectrum. The metamaterial consists of ultra-thin wall (13–15 nm) dielectric (Si or HSQ) coaxial cylinders with a well defined diameter (>100 nm) embedded in silver or gold. We demonstrate the fabrication process on both a SiO2 and Si substrate, where fabrication on a 1 µm thick Si membrane results in nearly freestanding structures. The process starts with creating an HSQ etch mask, using electron beam lithography. The structures are then transferred into the substrate with reactive ion etching, followed by metal infilling using a newly developed physical vapor deposition technique. Finally, the metamaterial surface is polished and made optically accessible with focused ion beam milling under grazing angles.