I think he had the helm with him all the way, yes. He hasn't bore it all the time, I guess, but he had it with him. In the mines of moria and on Amon Hen I don't doubt he had a helm.
And I guess Gimli has a helm too, but I don't know if that's mentioned in the Ring. The were both warriors (or so to speak) among the Fellowship, so I don't think either Boromir or Gimli would go on a many months taking journey without a helm.
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'You?' cried Frodo.
'Yes, I, Gandalf the Grey,' said the wizard solemnly. 'There are many powers in the world, for good or for evil. Some are greater than I am. Against some I have not yet been measured. But my time is coming.'
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