We have developed an instrument which simultaneously measures the thermal conductivity κ, Seebeck coefficient α, and electrical resistivity ρ of a sample, thereby determining the thermoelectric figure of merit Z = α2/(κρ). A Quantum Design Physical Property Measurement System (PPMS) provides the temperature control from 1.9 - 390 K and applied magnetic fields of up to 14 tesla. Two small probes mounted along the sample each contain thin film Cernox chip thermometers as well as electrical contacts to monitor the temperature and voltage drops across the sample. A third probe attached to the end of the sample provides a heater and current source to stimulate the sample both thermally and electrically. The sample's response to cyclic heat pulses is analyzed in real time using DSP techniques. A nonlinear least-squares fit is used, employing a two time-constant model to determine both the thermal conductivity and the Seebeck coefficient for the material. Data acquisition using these ac techniques are expedited since we can sweep both temperature and field during a measurement. Adaptive algorithms continually adjust the thermal and electrical stimuli applied to the sample, optimizing the speed and accuracy of the measurement. We present results from some of the materials measured so far, including thermal conductivity standards and Pb in the superconducting state.