When you feel heat on your hand, you are feeling the temperature of your hand, particularly the skin.
The temperature is basically the average speed of the particles in your hand. Because these particles are moving, they have energy, which we can label thermal energy.
Your hand can be heated or cooled by a few different processes. If you touch something hot, it can conduct thermal energy to you. If you touch something cold, you can conduct thermal energy to it. Because you just touched something, you associate touching with it with the sensation of heat or cold.
When out in the sun, thermal radiation falls on you, adding thermal energy, increasing the temperature. Everything emits thermal radiation, even you. Hotter things emit more thermal radiation.
When you sweat, the faster sweat particles escape – this is evaporation. Because the fastest ones disappear leaving behind slower ones, the sweat cools as it evaporates.
If particles are moving too fast, they cause damage when they crash into each other. This is what ultimately causes burning. Sunburns are different though, but regular burning, sunburns and chemical burns are all related to damage to molecules in your body.
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