Sensor arrays capable of sensing different gases combined with a sampling system and a means of pattern classification and recognition comprise a basic system for an `Electronic Nose' In the present work, a complete process for the fabrication of micro-cavities with sensing electrodes and volumes ranging from 2.5 to 12 nano-liters for the development of polymer gas sensors has been reported. An array of eight sensing cells in four sizes have been fabricated using SU-8 negative tone resist through UV-LIGA process developed at CEERI, Pilani. The length and width of the SU-8 cavities are: 250 x 250, 300 x 300, 500 x 500 and 500 x 600 micron and the depth of each of them was optimized to be 40 micron. These cavities filled with different polymer composites comprise the basic sensing cells for a variety of gases. The current paper presents the salient features of the fabrication process in detail and the results obtained in ethanol and methanol ambient using a polymer composite developed through dissolution of styrene and polyaniline in PMMA. A number of other composites such as Pc-Ppy, Pr-Ppy, Fc(+)-PPy have also been synthesized and tested for a high sensitivity in carbon monoxide.