I do this in my home. I just use plain H2O. You don't need to rely on the latent heat of phase changes for it to work. Anything that has a large heat capacity will work. Water is the cheapest substance with a high specific heat capacity.
It can be a simple as placing bottles of water throughout your house. It significantly reduces the temperature swings.
When I first did this, I shut my furnace off and never turned it back on. That was over a decade ago. (And I live in an area where it gets very cold.) It's works very well.
I use 3-liter plastic bottles filled with water. I try to place them near the center of the building and also try to put some where they can catch some of the sunshine through the windows.
There are also seasonal thermal storage techniques where you capture the heat from summer and store it in a large container (with a low surface to volume ratio) and then use that stored heat in the winter.
@Pat
That's true, it would work. But phase change actually stores more heat per volume and allows to keep the temperature at a single point for a long time. The idea is interesting though. Have you compared the heating bill or temperature log before and after?