Lateral spin valves (LSVs) are efficient structures for characterizing spin currents in spintronics devices. Most LSVs are based on ferromagnetic (FM) electrodes for spin-injection and detection. While there are advantages for using perpendicular magnetic anisotropy (PMA) FM, e.g., stability to nano-scaling, these have almost not been studied. This is mainly due to difficulties in fabricating PMA FMs in a lateral geometry. We present here an efficient method, based on ion-milling through an AlN mask, for fabrication of LSVs with multi-layered PMA FMs such as Co/Pd and Co/Ni. We demonstrate, using standard permalloy FMs, that the method enables efficient spin injection. We show the multi-layer electrodes retain their PMA properties as well as spin injection and detection in PMA LSVs. In addition, we find a large asymmetric voltage signal which increases with current. We attribute this to a Nernst-Ettingshausen effect caused by local Joule heating and the perpendicular magnetic easy axis.