http://www.engineeringtoolbox.com/thermal-conductivity-d_429...
Big difference between different gases.
But, check this out. Helium also has a high heat capacity. Table on same website:
http://www.engineeringtoolbox.com/specific-heat-capacity-gas...
Six times the conductivity of nitrogen (0.142 to 0.024) and five times the heat capacity: 5.19 to 1.04.
Big conductivity and capacity should translate to "convective cooling monster gas". :)