We experimentally demonstrate that plasma waveguides produced with ultra-short laser pulses (sub-picosecond) in gas jets are capable of guiding high intensity laser pulses. This scheme has the unique ability of guiding a high-intensity laser pulse in a plasma waveguide created by the same laser system in the very simple and stable experimental setup. A hot plasma column was created by a femtosecond class laser that expands into an on-axis parabolic low density profile suitable to act as a waveguide for high intensity laser beams. We have successfully guided ~1015 W cm-2 laser pulses in a 8 mm long hydrogen plasma waveguide with a 35% guiding efficiency.