What's the thermal time constant/capacitance of a 1/4W resistor?
OK a table of volumetric heat capacity for @gbulmer.  


Material      Heat capacity (J/(K*cm^3)) at 300K. 

Aluminum      2.42 

Copper        3.4 

Iron          3.5 

Al2O3         3.0 

G-10          2.7 

Nylon         1.7 


Addition: Guesstimate of time constant for through hole resistor.
So let's just assume the whole thing is made from ceramic, say Alumina.  Thermal conductivity is k = 30 W/(m* K) = 30mW/(mm* K) (millimeters will be easier for me) And make the diameter 2 mm (area = ~3mm^2) and the length 6mm.   Then thermal conductivity (end to end) is

R = 1/k * l/Area = 67 K/W.  Then the heat capacity is 3J* volume (cm^3) = 18 mJ/K.  Now we need to scale the thermal resistance by some amount.  I'll guess 1/2 (say 30K/W) but this is most likely not enough.  (I'll over estimate the time constant.)  Then the time constant is 30k/W*18mJ/K = 0.54 seconds.  So that seems OK, but maybe high.  

As an interesting aside I once tried to measure how much of the heat in a through hole resistor comes out through the leads.  The answer was basically zero, except with very small heat input... and the numbers were still "in the noise".   Through hole resistors are meant to cool by convection around the body.