Materials design based on first-principles electronic calculations has proven a fruitful strategy to identify new thermoelectric materials with a favorable figure of merit. Recent electronic structure calculations predict that in cobalt-based half-Heusler systems a power factor higher than in CoTiSb can be achieved upon p-type doping of CoVSn, CoNbSn, CoTaSn, CoMoIn, and CoWIn. Here, using a first-principles approach and semiclassical Boltzmann transport theory, we investigate the electrical and thermal transport properties of these materials. The calculated thermal conductivity at room temperature of all the systems is lower than that of CoTiSb, with CoMoIn and CoWIn having an almost threefold lower thermal conductivity than CoTiSb. We also provide conservative estimates of the figure of merit for these systems which all turn out to be higher than in CoTiSb and to have a maximum value for CoWIn.