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.