We demonstrate direct loading and cooling of a thermal beam into a cryogenic helium buffer gas. Our test species is rubidium; we observe a thermal beam with $3\times{10}^{13}{\mathrm{s}}^{\ensuremath{-}1}$ flux entering a cryocell and thermalizing with a 4.2-K buffer gas. There is no evidence of clustering or other spurious loss mechanisms. The cooling technique should be applicable to a wide variety of species, including radicals.