This is Ghost Five, by Robert Sheckley. The gas was dubbed "Longstead 42" and made real one's childish terrors.
A little known trivia is that this story was one of the two (both by Sheckley) used as "inspirations" by the Italian cartoonist Bonvi to draw an anthology of humour comic stories called "Storie dello Spazio Profondo" (Tales from Deep Space). Most of the screenplay was written by the Italian singer Francesco Guccini, but he wasn't available for two of the stories, so Bonvi helped himself from two of his favourites.
This is the last scene from "Bonifica Spaziale" ("Space Decontamination"), the story of the question (the planet is called Specter Three instead of Ghost Five), with its conclusion: "Nothing works like a good blanket over your head to defend yourself!".