Paraffin would be a good choice, although just putting a slug of copper into it and storing it in the freezer would probably work just as well. Of course you have to be able to find your freezer in the dark ...
Paraffin would be excellent. In fact, wax + copper was such an excellent combination to pull away thermal energy, this was the same mechanism used on the NASA Lunar Rover :
Basically, the heat was stored in the wax, which melted. Then, radiators would pull the heat from the wax out into space when the Rover was resting, which would solidify the wax again ready for the next run.
Careful now. The space-rover-cooling regime is substantially different from the handheld-Seebeck-flashlight regime. What makes sense in one place doesn't necessarily make sense in the other.
Think of sink/source temperature, cost/mass/performance/reliability tradeoffs, air vs. vacuum, power requirements, etc.
