A high-sensitivity long-period fiber grating (LPFG) methane sensor that contains a compact and uniform styrene-acrylonitrile (SAN)/cryptophane A nanofilm is presented. The sensor is prepared by using an automatic dip-coater in a solution of cryptophane A, SAN resin dissolved in ortho-dichlorobenzene, a low-volatile solvent. The effect of film thickness on the LPFG's resonant wavelength is thoroughly investigated. The optimum sensor among the three LPFGs with different film thicknesses is directly used to detect the methane concentration in a coal mine gas sample. The results indicate that the sensors with film thicknesses of 484 to 564 nm exhibit a redshifted resonant wavelength when the methane concentration is increased from 0% to 3.5% (vol). The data demonstrates that the sensor with a film thickness of 484 nm has remarkable sensitivity (～0.633 nm%-1), and its detection limit can reach 0.2%. The methane concentrations determined by our sensor are consistent with those obtained by gas chromatography.