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 ...
http://en.wikipedia.org/wiki/Lunar_Roving_Vehicle#Wheels_and...
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.
Think of sink/source temperature, cost/mass/performance/reliability tradeoffs, air vs. vacuum, power requirements, etc.
What about a series of smaller copper tubes that then stick out the bottom of the handle to transfer heat from inside to outer air?
http://boingboing.net/2011/10/26/coffee-joulies-review-the-e...
I guess it also depends on the relative importance of mass vs. volume optimization.
Maybe there's some way to lower the melting point of paraffin?