There are three different modes of transfer of heat
CONDUCTION: Especially in metals. Thermal energy here is considered to be the lattice vibrations in the metal. So, by successive vibrations, as we heat one end of the rod the other end gets hot.
CONVECTION: In this process, heat is considered in the form of kinetic energy of the molecules. So as we heat the bottom of a vessel containing water those molecules at the bottom gain kinetic energy and shoot up to reach the top. Thus the thermal energy is transferred due to the movement of the molecules. Interesting information. Water is good convector but a very bad conductor!
RADIATION: Here thermal energy is transported neither by the lattice vibrations nor by the movement of molecules It passes even through free space in the form of electromagnetic waves i.e. in the form of electric and magnetic energy.