An ensemble of massless fermions can be characterized by its total helicity charge given by the sum of axial charges of particles minus the sum of axial charges of antiparticles. We show that charged massless fermions develop a dissipationless flow of helicity along the background magnetic field. We dub this transport phenomenon as the Helical Separation Effect (HSE). Contrary to its chiral cousin, the Chiral Separation Effect, the HSE produces the helical current in a neutral plasma in which all chemical potentials vanish. In addition, we uncover the Helical Magnetic Heat Effect which generates a heat flux of Dirac fermions along the magnetic field in the presence of non-vanishing helical charge density. We also discuss possible hydrodynamic modes associated with the HSE in neutral plasma.