You can see that helium is lighter than air by getting a helium balloon. When you let go of it, it goes up, because the helium is lighter than the nitrogen and oxygen and carbon dioxide that make up most of the air, so the helium floats, and it pulls the balloon with it.
Breathing helium from a balloon
You can also see that helium molecules are lighter than oxygen or carbon dioxide molecules by breathing in helium from a helium balloon and then saying something (But only try it once! It's not good for your brain cells. And do NOT breathe it straight from the tank, which can cause bubbles in your brain and kill you.). When you speak, you breathe out helium from your lungs along with the sound. Because sound can travel faster through thinner air, and the helium is lighter, or thinner, than regular air, the sound travels to your ears faster and so it sounds different, as if you were a mouse or a chipmunk.