What happens
In a hotter region of a solid, particles have more thermal motion. Interactions with neighbours transfer energy toward cooler regions.
Where do we see it?
In metals, mobile electrons also carry energy efficiently. Copper and aluminium therefore conduct heat far better than wood, foam or still air.
A metal spoon in hot soup and insulation in a wall show opposite sides of the same idea: different materials conduct heat at very different rates.
A little further
Good insulation does not create cold. It slows the rate at which thermal energy crosses the material, often by trapping still air.