The enormous amount of heat in fires can push inhalation temperature to ~500 K, which is fatal to the civilians. However, conventional rescue respirators are unable to control the breathing air temperature. In this work, we utilized paraffin/expanded graphite (EG) composites to construct a heat exchanger for breathing air cooling. The material itself can be used as the mechanical support, the heat spreader and the heat absorber at the same time. The composites of 0~35 wt% EG were prepared and characterized. The results showed the paraffin was uniformly absorbed in the porous structures of EG. And the paraffin/EG composite with 25 wt% EG has better performance both in simulation and experiment. The heat exchanger constructed by this composite shows good cooling efficiency by cooling the inlet air from 500 K to a breathable 313 K and sustaining for more than 20 minutes.