Mercaptans contain sulfur. That's what makes them smell. The kind we use blends well with natural gas and, in a gaseous state, has much the same properties as natural gas, so it will also rise and dissipate with natural gas.
There are other uses for mercaptans in industry, including jet fuel, pharmaceuticals and livestock feed additives. They are used in many chemical plants. Mercaptans are less corrosive and less toxic than similar sulfur compounds found naturally in rotten eggs, onions, garlic, skunks, and of course, bad breath.