The Sun's heat or thermal radiation has travelled through the vacuum space to reach us. This radiation has covered the distance between the Sun and the Earth in exactly the same time (about eight minutes) that it has taken for the Sun's light to reach us. The reason for this is that both the Sun's termal and visible radiation are forms of electromagnetic waves. All that distinguishes them from each other is their wavelengths. The oscillations corresponding to visible light are squeezed more closely together (shorter wavelengths - and thus higher frequency) than those of the waves we feel as heat. The Sun also emits even shorter wavelenght ultraviolet light that is beyond the visible spectrum.
But it is not just the Sun that emits electromagnetic radiation. All bodies do - included us - and over the whole frequency range of spectrum. The distribution over frequency depends on the body's tempeture. If a solid is hot enough it will glow visibility, but as it cools its glow will diminish as the longer wavelengh radiation - beyond the visible - dominates. This does not mean that it ceases to emit visible light, but simply that the intensity of the light will be too weak for us to see. Of course all matter also absorbs and reflects radiation falling on it. Wich wavelenghs are absorbed and reflected defines the colour of everthing we see - See Colors Section.