Knowledge of the thermal conductivity is a key factor for several applications, which benefits from easy and cheap estimation procedures. We consider an existing experimental layout, and we propose a Rao-Blackwellized particle filter that jointly approximates the posterior distribution of the temperatures and analytically estimates the unknown thermal conductivity of a homogeneous mass. Its main advantage is the sequential estimation of the conductivity. In contrast, in other approaches, all of the temperatures need to be stored before processing the data. The results obtained with a polymethylmethacrylate specimen provide good estimates and demonstrate the real-time applicability of the approach.