Terahertz (THz) radiation spans between the infrared and microwave regime (approximately 0.1-10 THz), and can be potentially applied in the fields of sensing, security screening and communication. Being one of the most unexplored frequency ranges, the 'THz gap' as it is often called suffers from somewhat of an identity crisis. The development of THz technology is limited by a poor choice of components especially those employing waveguides. It is easy to transfer the optical or microwave devices to the THz regime theoretically as the behavior of THz waves obeys the Maxwell's equations. However, the fabrication issue brings new challenges as the device dimensions and materials' physical properties differ from their optical or microwave equivalents. In this study, we transfer fiber Bragg gratings (FBGs), which are widely used in optical regime, to the THz domain for the first time to our knowledge. The grating consists of a series of equally exposed elements with a pitch of several hundred micrometers written in sub-wavelength fibers with different diameters, depending on the frequency of interest. The inscription is achieved by a ultra-violet (UV) pulsed laser which ablates the fiber and leaves highly consistent notches along the fiber. Uniform gratings having rejection ratios of up to 60 dB with only a few GHz bandwidth and an insertion loss of around 1.5 to 2.5 dB are experimentally observed at the lower end of THz range. In addition to the experimental work, extensive modeling of the FBGs has been carried out. As the required refractive index profile along the fiber is difficult to obtain, we have adopted a combination of numerical (finite element method) and conventional transfer matrix methods in order to model the fabricated gratings. This model has turned out to be proficient at both predicting and explaining several of the features subsequently observed in the experimentally demonstrated FBGs, including the Bragg wavelength, bandwidth, and the blue shift as the grating strength (rejection ratio) increases. The adoption of the transfer matrix method also makes it computationally efficient, as only a portion of the periodic structure is required. We also extended the work by writing gratings with non-uniform profiles including chirped, superimposed, phase shifted and apodized gratings. These designs have been verified experimentally to improve the functionality of the device in terms of broadening the bandwidth, introducing more than one rejection band, transforming a bandstop filter to a bandpass filter, and suppressing the sideband ripples. We also found that a uniform grating scatters short wavelengths in a frequency dependent manner similar to the optical type II gratings. This demonstrates how the grating can be used as a frequency dispersive element in a spectrometer. A full width at half maximum of 4 GHz was experimentally obtained. The proposed Bragg gratings have the advantages of low cost, high rejection ratio and narrow bandwidth. Besides signal filtering, the gratings are also expected to find use in future sensing and spectroscopy applications. We believe that the knowhow developed in this study should facilitate a good foundation to realize a new THz lab-on-fiber platform in the future. A simple example would be to use a subwavelength tubing instead of a solid core fiber, which forms a microfluidic channel for sensing applications.