Existing error correcting schemes approaching the capacity of orthogonal modulations are mainly resorting to optimized bit-interleaved coded modulation (BICM) schemes with mandatory iterative decoding or to non binary coded coding schemes for which the field order is matched to the modulation order. The latter approach is efficient especially for short codeword lengths but suffers from a high complexity for high modulation orders. In this paper, we study properties of multi-level coding (MLC) schemes for high order orthogonal modulations and propose to consider non binary MLC to naturally address layer reduction. Design of non binary LDPC codes for non binary MLC is then investigated for both the Gaussian and Rayleigh fading channels showing good performance in both asymptotic and finite length regimes.