The implemented new legal regulations regarding thermal comfort, the energy performance of residential buildings, and proecological requirements require the design of new building materials, the use of which will improve the thermal efficiency of newly built and renovated buildings. Therefore, many companies producing building materials strive to improve the properties of their products by reducing the weight of the materials, increasing their mechanical properties, and improving their insulating properties. Currently, there are solutions in phase-change materials (PCM) production technology, such as microencapsulation, but its application on a large scale is extremely costly. This paper presents a solution to the abovementioned problem through the creation and testing of a composite, i.e., a new mixture of gypsum, paraffin, and polymer, which can be used in the production of plasterboard. The presented solution uses a material (PCM) which improves the thermal properties of the composite by taking advantage of the phase-change phenomenon. The study analyzes the influence of polymer content in the total mass of a composite in relation to its thermal conductivity, volumetric heat capacity, and diffusivity. Based on the results contained in this article, the best solution appears to be a mixture with 0.1% polymer content. It is definitely visible in the tests which use drying, hardening time, and paraffin absorption. It differs slightly from the best result in the thermal conductivity test, while it is comparable in terms of volumetric heat capacity and differs slightly from the best result in the thermal diffusivity test.