Thermal energy always moves from a hotter object or region to a colder one.
Conduction: particles in a solid vibrate faster when heated and pass energy to neighbouring particles by collisions. Metals are the best conductors because they also have free electrons that carry energy quickly.
Convection: in a liquid or gas, heated particles spread out, so the warm fluid becomes less dense and rises. Cooler, denser fluid sinks to replace it, forming a convection current.
Radiation: all objects give off infrared radiation. It travels as waves, needs no particles and can cross a vacuum. Dark, dull surfaces absorb and emit radiation well; light, shiny surfaces reflect it.