A Phase Change Material (PCM) based on paraffinic wax encapsulated in polymer shell is used for improvement of the heat storage capacity of commercially produced dry plaster, originally developed for both exterior and interior hand application. The composition of PCM modified plasters is designed with respect to the workability of fresh mixtures. Characterization of applied PCM is done using the measurement of particle size distribution, powder density, and matrix density. For the newly developed composite plasters, basic physical properties, mechanical properties, and thermal properties are accessed, whereas a specific attention is paid to the Difference Scanning Calorimetry (DSC) analysis. Using DSC measurement, temperatures of phase change transitions and phase changes enthalpies are identified. The obtained results show that the temperature induced phase change can be used for the release and storage of thermal energy in buildings, which can be beneficially utilized for saving the energy spent for the achievement of the indoor thermal comfort.