Convection is the transfer of heat in air. Heat is transferred to some molecules and then those molecules are moved away and replaced by new ones such as the rising and falling of warm and cold air. Convection only happens when you have things moving. One example is as a fan blows air on you, you feel cooler. Convection happens when hot air rises. The hot air goes up because it is less dense (the amount of mass per unit volume an object has) and the cold air comes down because it is more dense. The cooler air then becomes hot and rises and this creates a cycle of transferring molecules. This is also what happens in a hot air balloon.
