Gypsum board containing a shape-stabilized PCM either as a sheet or as pellets is thermo-physically characterized. The main objective is to elucidate which is the most efficient way to introduce the PCM into gypsum boards by measuring the thermal transmittance, effective thermal conductivity, total heat accumulated, and the average heat capacity. At their light it can be concluded that a gypsum board containing 25% PCM is more thermally insulating than the gypsum without PCM, and the average heat capacity of the samples containing sheet-PCM and pellets-PCM are higher than the gypsum by itself due to the latent heat effect, being 41% and 33% respectively.The work is partially funded by the Spanish government (ENE2011-28269-C03-02). The authors would like to thank the Catalan Government for the quality accreditation given to their research group GREA (2014 SGR 123) and research group DIOPMA (2014 SGR 1543). The research leading to these results has received funding from the European Union’s Seventh Framework Programme (FP7/2007–2013) under grant agreement n◦ PIRSESGA-2013-610692 (INNOSTORAGE)