Hi , 

1.Create each part,

2.assign material properties to them.

3.Assemble them

4. Merge them but retain the boundaries

5. assign the exposed surface in interaction (the film conditions, conductivity and etc.)

6. Go to load, predefined field, assign the ambient temperature to whole system

7. Mesh the model

8.Select element type, scroll down to see heat transfer element

Hope above helps.