We have developed a technique for fabricating microlens arrays by engraving photoresist coatings. These microlens arrays are designed for astronomical applications for atmospheric wavefront sensors. First, we describe the apparatus and the manufacturing process. Second, we review the characteristics of the different photoresist types used in this process. Third, we report on the different optical testing methods to measure the microlens' performances. Then we deduce the several inherent advantages and limitations of this method. Fourth, we show how to produce monolithic arrays using ion beam milling with photoresist microlens arrays as a pattern and we demonstrate how these arrays can improve upon the performances of photoresist arrays.