MSC.Nastran does not support heat transfer in their gap or slide line contact elements.  I know that NEiNastran does and also supports it for their surface contact.  If you are using gap elements in MSC you will need to create a seperate model and use a similar element supported in heat transfer such as the CROD element.  A trick would be to just add these elements to the structural model and assign them an E or area that is very small for the structural solution and what ever you want for the heat transfer solution.  Hope that helps.