A process for forming an extruded composition using a wet-spin dry-jet technique including forming a dispersion dope by mixing phase change material with a first portion of solvent, and sonicating the mixture, forming a prime dope by combining a first portion of polymer and a second portion of solvent, forming an extrusion composition by combining the dispersion dope, the prime dope and a second portion of the polymer, rolling the extrusion composition, degassing the extrusion composition, extruding the extrusion composition through a spinneret, drying the extruded composition, and quenching the extruded composition. The weight fraction of the phase change material in the extruded composition can be greater than approximately 60%, and preferably greater than approximately 75%.