An important note to the other answers so far: the actual mass of a single particle (the rest mass as it used to be commonly referred to) does not change if the temperature rises (by temperature I mean that of the environment since temperature is a macroscopic quantity).
The (rest) mass of a particle is the $m$ in
$$E = \sqrt{|\mathbf{p}|^2c^2+m^2c^4}.$$
Even in a macroscopic object, the mass $m$ of each individual particle doesn't change when the object's temperature rises. What does change is the magnitude of the momentum $|\mathbf{p}|$ of each particle. So the mass doesn't change.
However, as John Rennie explains in his answer, general relativity teaches us that gravity doesn't couple just to mass (which is simply a form of energy, remember), it couples to all forms of energy. So the thermal energy that an object gains by heating it up - while it doesn't increase its mass - does cause it to gravitationally interact more strongly.
Now I've been scrupulously using the term mass in the sense of rest mass to be clear about what is changed by a rise/decrease in temperature. Of course, mass and energy can actually be used interchangeably because mass is really just energy. Or energy is really just mass, if you will. It's also in that sense that you will hear people state that most of your personal mass is not due to the BEH field, but due to binding energy of the atoms in your body and such.
Follow-up
Why (or in which way) is mass simply a form of energy? Well, the answer to that certainly isn't "because Einstein said so." It's because of that Higgsfield (BEH field). The BEH field has a non-zero vacuum expectation value or vev (basically: it's nowhere and never zero, even if nothing's around).
The idea is that each elementary particle is in and of itself massless. This is fine because we know due to Einstein that mass is energy and energy needs some sort of origin/cause. Now (almost) every particle couples to the BEH field and the interaction energy of this coupling is basically the particle's mass. Because the vev of the BEH field is non-zero, there's no escaping it: if you couple to the BEH field, you will be massive.
So to bring two concepts of mass together: the rest mass of a non-interacting particle is the BEH mass. When it starts interacting with e.g. an electromagnetic field, it gains energy which can be interpreted as a gain in mass because of the interchangeability of mass and energy. But remember that its rest mass hasn't changed.