Helicity of free massless Dirac fermions is a conserved quantity at the level of the classical equations of motion. Consequently, the flow of helicity can be modelled by the helicity current, which is again conserved in the absence of interactions. Similar to the axial vortical effect, the helicity current is induced by vorticity in a finite temperature medium with vector (electrical) charge imbalance via the helical vortical effects, leading to new nondissipative transport phenomena. These phenomena lead to the appearance of a new gapless hydrodynamic excitation, the helical vortical wave. Our results suggest the existence of a new type of triangle anomalies in QED which involve the helicity currents in addition to the standard vector and axial currents. Further exploiting the conservation of the helical current, we show that a finite helical chemical potential may be used to characterise thermodynamic ensembles of fermions similarly to, but independently of, the vector charge and chirality. Starting from the Fermi-Dirac distribution, we derive the pressure $P$ for fermions at finite vector, axial and helical chemical potentials and show that the quantities arising in anomalous transport, including various vortical and circular conductivities and the shear stress coefficients, can be obtained by differentiation of $P$ with respect to the appropriate chemical potentials.