Heat convection occurs in both gases and liquids. When the gas or liquid warms up it will rise, and as it cools down it will drop. I'll show you an example. Don't try this at home! I need a plastic rubbish bag. I've got a toaster down here. It's quite cold in here. Watch what happens.
The warm air is rising in the bag.
Did you see? It rose up because the air inside was heated up by the toaster. The gas particles became hot and they moved round a lot. So it rose up. Higher up in the room the air in the bag became colder, so it fell down again. That's heat convection.