Magnetic susceptibility, transport and heat capacity measurements of single crystal NaxCoO2 (x=0.71) are reported. A transition to a spin density wave (SDW) state at Tmag = 22 K is observable in all measurements, except chi(ac) data in which a cusp is observed at 4 K and attributed to a low temperature glassy phase. M(H) loops are hysteretic below 15 K. Both the SDW transition and low temperature hysteresis are only visible along the c-axis. The system also exhibits a substantial (~40%) positive magnetoresistance below this temperature. Calculations of the electronic heat capacity gamma above and below Tmag and the size of the jump in C indicate that the onset of the SDW brings about the opening of gap and the removal of part of the Fermi surface. Reduced in-plane electron-electron scattering counteracts the loss of carriers below the transition and as a result we see a net reduction in resistivity below Tmag. Sodium ordering transitions at higher temperatures are observable as peaks in the heat capacity with a corresponding increase in resistivity.