We report studies of thermal conductivity as functions of magnetic field and temperature in the helimagnetic insulator Cu$_2$OSeO$_3$ that reveal novel features of the spin-phase transitions as probed by magnon heat conduction. The tilted conical spiral and low-temperature skyrmion phases, recently identified in small-angle neutron scattering studies, are clearly identified by sharp signatures in the magnon thermal conductivity. Magnon scattering associated with the presence of domain boundaries in the tilted conical phase and regions of skyrmion and conical-phase coexistence are identified.
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