Helium is a natural part of our atmosphere. You get it by freezing air and split the gases (nitrogen, oxygen aso). That's how you produce the oxygen you have in your bottles on your aircraft or the hospital or the gases in your neon light.
Since the helium gases are not consumend, i.e. they are not converted, they stay in the atmosphere even after use. An airship doesn't "burn" it, it goes back to the atmosphere as soon as it exits the airship.
Dani