So you want a breathable gaseous atmosphere with characteristics similar to some liquids?
Well the key is not just picking the right gases but the right pressures and temperature, there are a few things you can try:
There is the Earth, Neptune, and so on route of simply having a heavier planet and potentially a protective magnetosphere and being in a relatively safe location.
Firstly you can simply go the Venus route and have a warmer planet with plenty of water and the like to vaporize alongside compressible greenhouse gases with a supercritical state you can reach such as carbon dioxide giving you a dense and more soupy atmosphere.
This worked so well on Venus that much of the atmosphere is literally supercritical CO2 and while obviously not the result you are going for it does present a principal you can draw upon to a lesser extent to push your atmosphere closer to the desired result.
Another thing you can try is the Titan route. Saturn's moon Titan is the only moon known to have a dense atmosphere and I don't just mean dense for a moon as Titan literally has an atmosphere denser than Earth's and is close to the triple point of methane which alongside the cold allows for liquid methane on the surface, gaseous methane in the air, and even some nice frozen methane hence why it is called a triple point.
You could have a world that is fairly cold and has plenty of substances similar to methane in it's atmosphere though you will have to shop around a bit to find one's that are non-toxic, work at survivable temperatures, are less likely to degrade without an effective means of replenishing it, and which can form naturally.
Near as I can tell you ideally want a super-earth type planet with,
plenty of heat trapped inside like on Earth or even potentially on Titan (relative to the surface, see cryovolcanoes),
some heavy greenhouse gasses potentially close to the ground,
mountains especially around the poles to help bridge different layers closer to the ground and make it easier to create the sailing effect you described,
plenty of water,
plenty of heavy gases that can be carried up to cool off and perhaps settle in sufficiently cold areas,
a decent set of cold and hot seasons to help drive move and cycle some of our gases and help the poles which should receive little sunlight accumulate some especially nice cold soupy layers.
So yeah you probably are wanting essentially a larger Earth with a more complex atmosphere,
geology that produces more mountains closer to the poles and has plenty of seismic activity and energy to make up for the mass,
and more distance from the sun so to allow for more extreme cold temperatures.
As far as triple points go the best options I could quickly find seem to all be either toxic, more interested in reacting with oxygen than sticking around, or both and it looks like anything viable will probably have to be chemically complex.
As far as supercritical states go your best options seem to be carbon dioxide at a decent 31.04 °C and heavy 72.8 atm and xenon at a chilling 16.6 °C and less heavy 57.6 atm.
It looks like your presumably human population may need to have protective adaptations against xenon and nitrogen narcosis from the pressure but this seems survivable. I'm sure there are better options I don't know about.
https://en.m.wikipedia.org/wiki/Atmosphere_of_Venus
https://en.m.wikipedia.org/wiki/Supercritical_carbon_dioxide
https://en.m.wikipedia.org/wiki/Atmosphere_of_Titan
https://en.m.wikipedia.org/wiki/Cryovolcano
https://en.m.wikipedia.org/wiki/Triple_point#Table_of_triple_points
https://en.m.wikipedia.org/wiki/Critical_point_(thermodynamics)
I'm no expert so this is far from definitive and you should feel free to correct me.