Thermoception, or the body's ability to sense heat (and cold), has been studied for several centuries. It's thought that the ability to detect temperature is extremely ancient in evolutionary terms. Going back as far as the evolution ofArchaea.
In humans and other mammals, specialist nerve cells in the skin (and some other organs) called thermoreceptors can detect temperature changes of just a few degrees C. They typically have 'raw' nerve endings which aren't sheathed in myelin.
It has been found that there are (at least) two types of thermoreceptors, one detecting higher temperatures, and the other responsible for cold sensing.
It's not currently known exactly how the sensing works - in either type of cell.
Thermoreceptors have been classically described as having 'free' non-specialized endings; the mechanism of activation in response to temperature changes is not completely understood."
Source : Wikipedia
It's thought that chemical changes in proteins at the ends of the fibres, brought about by contact by a hot or cold object or environment, are converted into an impulse response (or change in firing rate) of the nerve cells. The changes are detected very rapidly - in a few milliseconds. Exactly how this happens is unclear. Current research suggests that there are likely to be a wide range (a 'constellation') of thermally sensitive chemicals involved.
As yet, no research projects have clarified whether the nerve sensors for pleasurable sensations of warmth are the same ones which are responsible for pain caused by heat (see below).
Also see : Heat painplugin-autotooltip__plain plugin-autotooltip_bigHeat pain
The intense pain associated with touching, or being touched by, an object that is damagingly hot is initiated via specialist cells in the skin called TRPV1 cells (Transient Receptor Potential cation channel subfamily V member 1). They are a sub-category of 'nociceptor' (a sensory neuron that responds to damaging or potentially damaging stimuli by sending possible threat signals), and can quickly and accurately detect temperatures above 42 °C - by an as-yet-unknown mechanism.