A novel flexible thermal storage system based on organic phase change materials (PCMs) deposited on a non-woven polyester (PET) substrate is described in this article. Thermally regulating effects were created via encapsulation of polyethylene glycol (PEG) in carbon nanofibers (CNFs) to manufacture a shape-stable phase change material (SSPCM). Improvement in the thermal conductivity (TC) of the system was obtained by incorporating reduced graphite oxide nanoparticles (rGONP) into the CNFs. A new method was applied to load and secure the manufactured SSPCMs on the fibrous substrate so that an acceptable level of flexibility was preserved (change in bending length less than 30%). The sample performance was evaluated by measuring its thermal properties. The physical properties, wash fastness, abrasion resistance, morphology, and PCM leakage of the samples were also assessed. The results point to a good thermal storage ability of the samples with characteristic phase change temperature ranges of 30.1–31.4 °C and 19.2–24.3 °C for melting and freezing, respectively, and a latent heat of 8.9–22.9 J g−1 for meting and 11.2–21.4 J g−1 for freezing. The use of the CNF-rGONP for PEG enhanced the TC of the system by 454%, thus providing a rapid thermal response, and efficiently prevented the leakage of PEG. Finally, the loading and fixation method on the non-woven substrate allowed an acceptable level of durability with less than 4% of weight loss during washing and abrasion tests. This system provides a promising solution for rapid response, flexible thermal storage wearables.