Really? I have a couple of software packages that integrate with SolidWorks, but I generally don't use that functionality. I prefer to save my computer the operating overhead, export the file in IGES or STEP, shut down SW, open one of the FEA packages and import. Sometimes IGES works better than STEP and others are the opposite. Some packages prefer trimmed surface IGES files (iges entity 143), other prefer B-REP solids (144)...anyway. It may be cost efficient to find a low-priced package and learn the best settings for importing...especially if you are just doing thermal analysis.
In the category of COSMOS, I generally throw Algor (integrated or variety of file import formats), NENastran (integrated or variety of import file formats), and AMPS (uses the .sat file format - ACIS kernal exportable from SW). Any one of these should work for thermal stress, but COSMOS should do the trick, too, so why are you turning away from COSMOS?