Question

if CH4, He, O2, and N2 are at the same temperature then which one is the least dense

Answer 1

CH4 = 12+4 = 16 grams / mole
He = 4 grams/mole
O2 = 16*2 = 32 grams/mole
N2 = 14*2 = 28 grams/mole

By the way
H2O = 2+16 18 grams/mole

so water vapor is lighter than air which is about 80% N2 and 20% O2
(steam rises :)

A water vapor molecule is also much smaller than an average molecule of air, so it is possible to make a filter (house wrap for example) which lets water vapor pass through but not air or liquid water.