Well, a capillary column will cost more and have less sample capacity and of course they can break if scratched accidently. That means you will generally not be able to measure as low a level as you might need and that capillary may cost you a lot more than the $100 or so required for a packed column.
Since hydrogen may very well be an impurity in helium you will not be able to see a hydrogen impurity if you use hydrogen carrier.
My company (a competitor to Restek) also sells a megabore plot 5A sieve column and I could have recommended it, but the best straightforward, low cost solution would still be a 5A or a 13X packed molecular sieve column. You can connect to capillary injector/detector with simple unions and pieces of almost any FSOT tubing from an old column if you don't have a packed column injector/detector connections.
How much money do you have to spend and how many samples do you have to test, and at what levels do you want to measure?
These are important questions that need to be answered before you decide on your best solution.
If all you have to measure is He and O2 (no other contaminants) then any porous polymer column with H2 or Ar carrier will work as well.
If you use helium carrier then you will only see Helium impurities and not the balance Helium peak. That might be a technique for a TCD you might want to consider, but especially if you have access to a He Ionization Detector from Valco or Gowmac which will measure extremely low levels of contamination.