Declining a fellowship opportunity for PhD research I applied for a fellowship with the help from a potential PhD supervisor back in October. I had to write a research proposal and personal statement. The professor helped me edit it, and build the research proposal. I have been notified I have passed to the next round of the fellowship selection, but won't know the final result until march. 

Meanwhile, I have applied to other PhD programs. I have been offered a place at one rotation phd program, which is fully funded. I really like the program and would prefer to go there. This program is also asking me to send them my decision by the end of this week. 

How can I go about telling the first professor I have decided to play it safe with a fully funded offer rather than wait for a fellowship I don't know I will win? I feel really bad because they put the effort into helping me write the research proposal and personal statement. I also don't want to be burning bridges and hindering my academic career. 

Most questions on this site mention being honest and overall fast with my response. I wanted to ask my question, though, since I went through the process of applying for the fellowship with the professor, and I feel that makes the rejection a bit more delicate. 

Thanks in advance for any advice.
You've pretty well answered your own question.  Be honest, and be swift so they don't waste time.  Simply tell them you received a fully-funded offer that needs an answer now, and can't afford to wait until March so you've accepted it.  Thank them for their time.

They'll understand, and be much more accepting of it now than they would be if you waited and let them put time and effort into considering your fellowship application.  Keep it simple and polite, then move on.

Also, congrats!