The purpose of the current work was the lab-scale synthesis and thermal characterization of a Poly(methyl methacrylate)-Multi-walled Carbon Nanotube (PMMAMWNTs) composite. The PMMA-MWNTs composite was produced by mass in-situ polymerization, using Benzoyl Peroxide (BPO) as initiator. As a previous step to the polymerization, a BPO-MWNTs reaction was performed to trigger the formation of free radicals in the surface of the MWNTs. The MWNT concentration in the composite was varied to produce samples of 0%, 0.1% and 0.5% w/w of MWNTs in PMMA. The produced composites show an adequate dispersion and different thermal properties than the PMMA blank, suggesting a property transfer from the nanoparticles. The proposed production method is simple, of relatively low cost and easily applicable in a variety of industrial applications.