Heat always flows from warmer to cooler surfaces until the temperatures of both surfaces become equal. Thermal insulation reduces this flow of heat. An insulator is a bad conductor of heat. Materials that are less dense are better insulators. Thus, gasses are more effective insulators than liquids, which in turn are better insulators than solids. 

Learn about thermal insulation in this interactive from BBC.CO.UK http://www.bbc.co.uk/bitesize/ks2/science/materials/keeping_warm/play/