Gallium lanthanum sulfide (GLS) glass is a promising material for mid-infrared photonics due to its wide transmission window and its high nonlinear refractive index that is almost three orders of magnitude higher than that of fused silica. In this paper, we present the results of a detailed study into the linear and nonlinear optical properties of waveguides fabricated in GLS glass via ultrafast laser direct-inscription using three different techniques: cumulative heating in the thermal regime as well as multi-scan and half-scan in the athermal regime. Using quadriwave lateral shearing interferometry, we fully characterized the refractive index profiles of such inscribed waveguides and found no difference between half-scan and multi-scan writing which indicates the absence of laser-induced stress in this soft glass in stark contrast to fused silica. In terms of nonlinearity, we utilized self-phase modulation (SPM)-induced spectral broadening experiments at mid-IR wavelengths to demonstrate that waveguides fabricated in the athermal regime preserve the high intrinsic nonlinearity of the GLS bulk material, outperforming those written in the thermal regime based. These findings pave the way for the fabrication of fiber-coupled optical waveguide chips for nonlinear mid-infrared photonics.