In the traditional Monte Carlo method, the cross-sections are assumed to be constant, but this Monte Carlo technique is no longer applicable in continuous materials where the material cross-sections vary over the particle flight paths. Three Monte Carlo methods are developed to solve this kind of problem in this paper, namely Sub-stepping method, Delta-tracking method and Direct Numerical method. Based on the results from different methods to calculate the particle transport in media with continuously varying cross-sections, the comparison of three methods is made and Delta-tracking method is used as the main method to solve this kind of problem. And also an improved Delta-tracking method is posted in this paper to make this method more powerful in solving problems where the material cross-sections vary sharply over the particle flight paths.