Helium balloons float because they are less dense than the surrounding air, which causes them to rise. Gravity acts on helium balloons the same way it does on the surrounding air; it has no effect on whether the balloon floats or not. It all comes down to relative densities.
Helium gas is used to make party balloons float and it's used by NASA in giant-sized balloons that are able to carry weights of up to 8,000 pounds (the weight of two cars). These balloons can reach heights of 26 miles and stay afloat for up to 14 days at a time.