When they move faster, they take up more space. We don't see molecules moving, but we can sense very precisely how fast they are moving. Temperature of an object. Water vapor is odorless, colorless, tasteless. Ditto, steam from teakettle, hot air vent, factory.
Water is special .
As a gas cools, molecules move more slowly, take up less space, more per unit volume, higher density. More so, gas to liquid, liquid to solid. Coldest solid is densest of all. Therefore ice is less dense than water, and floats. High heat of vaporization hydrogen bonds must be broken for water molecules to evaporate.