Gain or lose heat quickly if thermal conductivity is high.
Gain more heat if heat capacity is high.
How quick and how much are different aspects.

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ΔQ = heat absorbed or heat gained =  mass * specific heat * ΔTemperature
        = heat capacity * ΔT

A substance with higher specific heat or heat capacity absorbs more heat energy to increase by 1°C. (or to any temperature.)  Many non-metals have this property, including water.

A substance gains heat quickly if its specific heat is less and its thermal conductivity is more.  Metals with these properties become hotter very quickly.