Ferroelectric domain walls have emerged as one of the most fascinating objects in condensed matter physics due to the broad variability of functional behaviors they exhibit. However, the vast majority of domain walls studies have been focused on bias-induced dynamics and transport behaviors. Here, the scanning probe microscopy approach based on piezoresponse force microscopy (PFM) with a dynamically heated probe, combining local heating and local biasing of the material is introduced. This approach is used to explore the thermal polarization dynamics in soft Sn2P2S6 ferroelectrics, and allows for the exploration of phase transitions at individual domain walls. The strong and weak modulation regimes for the thermal PFM are introduced. The future potential applications of heated probe approach for functional SPM measurements including piezoelectric, elastic, microwave, and transport measurements are discussed.