We have fabricated a helmet type magnetoencephalogrphy(MEG) with a $1^{st}$ order gradiometer in vacuum to improve the signal-to-noise ratio(SNR) and the boil-off rate of liquid helium(LHe). The axial type first-order gradiometer was fabricated with a double relaxation oscillation SQUID(DROS) sensor which was directly connected with a pickup coil. The neck space of LHe dewar was made to be smaller than that of a conventional dewar, but the LHe boil-off ratio appeared to increase. To reduce the temperature of low Tc SQUID sensor and pickup coil to 9 K, a metal shield made of, such as copper, brass or aluminum, have been usually used for thermal transmission. But the metal shield exhibited high thermal noise and eddy current fluctuation. We quantified the thermal noise and the eddy current fluctuation of metal. In this experiment, we used the bobbin which was made of an alumina to wind Nb superconductive wire for pickup coil and the average noise of coil-in-vacuum type MEG system was $3.5fT/Hz^{1/2}$. Finally, we measured the auditory evoked signal to prove the reliability of coil-in-vacuum type MEG system.