Phase change materials (PCM) are widely investigated nowadays for building applications due to their ability of passive heating and cooling, thus regulating indoor temperature. Recently, PCMs have been studied also as additives of asphalt binders for road applications. However, PCM modifications of asphalt binder limits the effect due to the low amount of binder (5–6%wt.) used in asphalt mixtures. In order to increase the PCM content in a mixture an effective option may consist of modifying aggregate particles as main mixture component (94–95%wt.). In this research, foam glass and burnt expanded clay (agriculture beads) particles are impregnated with PCM (Tetradecane, T_melt = 6 °C) and investigated for relatively low temperature applications. PCM impregnation together with the protective coating and sealing of these PCM soaked lightweight aggregate (LWA) particles are performed in the lab. The particles are coated using epoxy adhesives combined with Ordinary Portland Cement (OPC). The results reveal that porous lightweight particles are indeed promising PCM carriers and comparatively easy to impregnate with liquid PCM. However, the choice of coating technique depends on the final application as hot, warm or cold mix asphalt.