When a material is heated, the molecules in it vibrate. As the intensity of the heat increases, the molecules vibrate faster. When a rapidly vibrating molecule collides with other molecules nearby, it transfers some of its energy to them. It has hot spots which cause sticking. The best cooking utensils combine with other materials to improve conduction.
Warm air is lighter than cool air because the molecules are vibrating quickly and are farther apart.
Thus as air is heated, it rises. Cooler and denser air sinks and a convection current begins. This phenomenon occurs in liquid also. A convection oven blows heat around and causes food to cook faster. Waves of energy can travel through space, heating objects they strike.