Shape stabilised phase change materials (SSPCMs) based on a high density poly(ethylene)(hv-HDPE) with high (H-PW, Tm = 56–58 °C) and low (L-PW, Tm = 18–23 °C) melting point paraffin waxes were readily prepared using twin-screw extrusion. The thermo-physical properties of these materials were assessed using a combination of techniques and their suitability for latent heat thermal energy storage (LHTES) assessed. The melt processing temperature (160 °C) of the HDPE used was well below the onset of thermal decomposition of H-PW (220 °C), but above that for L-PW (130 °C), although the decomposition process extended over a range of 120 °C and the residence time of L-PW in the extruder was