"Helium is the second most inert of all gases so it is not hard to contain. Hydrogen (as said below) or even liquid helium (as you can read on the wikipedia) are harder. With helium gas you just seal the container and it just stays there, without condensing or interacting with the walls or other gases; it shouldn't be harder than creating a vacuum."
The problem is that the diffusion rate of helium through glass or epoxy and other glues and insulators can be quite high at room temperature (as a low temperature physicist well knows). So the container needs to be all metal with a soldered or welded seal.