The concept is quite simple – the screen on your smartphone retains the heat from your fingertips for a short while. If you unlock your phone and then it can be scanned by thermal imaging equipment (within 30 seconds), your PIN can be revealed. See this 30 second video:
I feel the real risk would be from thermal imaging already in place (say beneath a table), that can capture the PIN entry in real time. The scenario in the video is kinda unlikely.
To protect yourself, have a phone that shows updates on your home screen without unlocking it.
Story : The Atlantic