Sorption heat transformers and thermal energy storage systems are emerging technologies that utilize and store low-grade waste heat for heating and cooling applications. The performance of sorption systems is not only affected by systems’ operating conditions, and overall systems’ design but also by sorption material or composite parameters such as thermal diffusivity, composition, and pore structure, among others. In this study, CaCl2-based salt-in-porous-matrix composites of different compositions and coating thicknesses were synthesized. During synthesis, salt to silica gel and polyvinyl alcohol to silica gel ratios were fixed and the thermal additive (expanded natural graphite) to silica gel ratio was varied with care from 0 to 0.26 (or 0 to 20.5 wt.%, additive to silica gel ratio). The thickness of samples varied from 2.3 to 8.3 ± 0.1 mm. The composites were characterized by a transient plane source (thermal conductivity and thermal diffusivity), nitrogen adsorption porosimetry (specific surface area and total pore volume), and thermogravimetric sorption analysis (water sorption equilibrium) methods. A custom-built gravimetric large pressure jump (G-LPJ) testbed was used to study water sorption kinetics (water uptake vs. time) for selected samples. The thermal conductivity and diffusivity of the studied composite samples have shown significant enhancements, e.g., 240% (0.11 W/(m·K) vs. 0.37 W/(m·K)) and 310% (0.21 mm2/s vs. 0.87 mm2/s), respectively, by adding 12.5 wt.% expanded natural graphite (additive to silica gel ratio is 0.14) as a thermally conductive additive (additive to silica gel ratio) because of thermal percolation effect. This ratio of expanded natural graphite to silica gel was found to be optimal for studied composition. The results indicate that sorption composites with higher thermal diffusivity offer notably higher specific cooling power and improved sorption kinetics, compared to the composites without expanded natural graphite of the same thickness (850 W/kg vs. 480 W/kg at 70% water conversion for samples with thickness of 5.3 mm).