The cyclic voltammetric behaviour of propionaldehyde (PA) and hexanaldehyde (HA), in 1-butyl-3-methylimidazolium bis(trifluoromethyl-sulfonyl) imide ([BMIM][NTF2]), 1-butyl-3-methylimidazolium hydrogen sulphate ([BMIM][HSO4]) and 1-butyl-3-methylimidazolium hydroxide ([BMIM][OH]) was investigated at a platinum microelectrode. A clear oxidation process for both aldehydes was recorded only in [BMIM][OH]. On the basis of these evidences, an electrochemical microprobe (EMP), incorporating [BMIM][OH] as electrolyte, was assembled for sensing these aldehydes in gaseous phases. The EMP exposed in the headspace of the liquid aldehydes displayed voltammetric and amperometric responses, which depended on the aldehyde vapour pressures and, consequently, on the temperature employed. The usefulness of the [BMIM][OH] coated EMP for practical applications was assessed in the detection of HA vapour released from squalene (i.e., a lipid simulant matrix) samples spiked with known amounts of the aldehyde. Calibration plots were constructed at 40 °C, 50 °C and 60 °C, using both voltammetry and chronoamperometry. In both cases, good linearity between current and HA concentration in squalene was obtained over the range 3-300 ppm, with correlation coefficients higher than 0.991. Reproducibility, evaluated from at least three replicates, was within 5%. Detection limits, evaluated for a signal-to-noise ratio of 3, were in any case lower than 1.7 ppm. These analytical performances are suitable for monitoring VAs coming from lipid oxidation processes in food. An application concerning the determination of VAs in headspace of sunflower oil during an induced oxidative test to establish its thermal stability was also performed.