As for the convergence, the integrand is continuous on $[0,\infty)$ and thus only the behavior as $x\to\infty$ matters. But since
$$ \frac{1}{(x + \sqrt{1+x^2})^n} \sim \frac{1}{(2x)^n} \qquad \text{as} \quad x\to\infty, $$
by the (limit) comparison test, the integran converges exactly when $n > 1$.
In order to compute the exact value, it would be better to work with the substitution $x = \sinh t$. Then $x+\sqrt{1+x^2} = e^t$ and hence
$$ I = \int_{0}^{\infty} \cosh(t) e^{-nt} \, dt = \int_{0}^{\infty} \frac{e^{-(n-1)t} + e^{-(n+1)t}}{2} \, dt. $$
Can you proceed from here?