In this study, thermal properties of carbon nanofiber (CNF) and carbon nanotube (CNT) filled phase change materials (soy wax and paraffin wax) were studied experimentally, aiming to improve their thermal conductivities. The composite phase change materials (PCMs) were prepared by the stirring of CNF or CNT in liquid wax at 60 °C, with CNF and CNT doping levels of 1, 2, 5, and 10 wt%. The experimental results show that the thermal conductivity of composite PCMs increases as CNF or CNT loading contents. Both CNF and CNT can improve the thermal conductivity of the composite, while CNF is shown to be more effective than CNT as the thermal conductive filler because of its better dispersion in the matrix.