A new gas absorption module, the substrate-embedded hollow waveguide (eHWG) model, is proposed. It consists of a substrate with a curved channel and a hollow waveguide. The hollow waveguide is curved into the channel and works as a gas absorption cell as well as a transmission medium for mid-infrared light. Owing to the low loss property of the hollow waveguide, the signal-to-noise ratio (SNR) was improved for the sensing system. A polycarbonate (PC) base tube was used to obtain flexibility in the fabrication of the hollow waveguide. A silver (Ag) layer and a silver iodide (AgI) layer were inner-coated to ensure a low loss property at the fingerprint wavelength of methane gas. A sensing system was established using a Fourier transform infrared spectrometer (FTIR), an external detector, and an eHWG. Experimental investigations were carried on the sensing performance of eHWGs with various channel shapes. Comparison studies were made on eHWGs embedded with Ag-coated or Ag- and AgI-coated hollow waveguides. The Ag- and AgI-coated hollow waveguides with inner diameters of 0.7, 1.4, and 2.0 mm were used in the eHWGs. The large bore waveguide had low loss but high bending additional loss. The large bore waveguide had a low detection limit due to high coupling efficiency with the light source. A limit of detection (LOD) as low as 2.7 ppm was attained for the system using the eHWG with the long and large bore waveguide.