The performances and application parameters of phase change materials (PCM) are crucial for integration with construction in practice. In this paper, composite PCMs (CPCM) were prepared by paraffin/expanded graphite (EG) and applied to phase change gypsum board (PCGB). The composite PCM was characterized by SEM, DSC, leakage ratio and thermal conductivity tests to determine the optimal ratio of EG and paraffin; The thermal storage and release properties of PCGB were experimentally investigated by two building cabin models. The results showed that the CPCM obtained 12 wt% EG exhibited excellent thermal conductivity (2.32 W/mK) and latent heat (103.9 J/g). The PCGB prepared with above CPCM has excellent thermal conductivity (0.3968 W/mK) and latent heat (42.2 J/g). When the EG content exceeded 12%, the thermal properties and leakage ratio of the CPCM stabilized after 200 thermal cycles despite the increase of EG. The phase change cabin exhibited much lower heating and cooling rates than that of the pure gypsum cabin, with a 1.14 °C decrease in peak internal surface temperature and a 3.4 °C decrease in temperature fluctuation. In addition, the room temperature of the established reinforced concrete wall model with PCGB was simulated based on the hourly variation pattern of the winter-summer temperature in Urumqi, China. The results show that in summer, the PCGB with phase change temperature of 29–31 °C and thickness of 20 mm possesses a larger heat storage capacity, with a smaller average internal surface temperature (28.63 °C) and a higher average phase change utilization (61.5%), which can reduce the cooling and heating load of the wall and save energy effectively.