Of all of the methods that heat transfers, viscosity primarily affects convection. The thicker the oil, the less "mixing" of hot and cool regions that occurs and result in less heat removal by convection.
However, since the oil pump and moving parts ensures that mixing is continuous, this affect is primarily observed where oil pools, like the oil pan.
The primary factor for heat absorption by oil, given fixed flow rates, is the "wetting" ability of the oil. In other words, the better that the oil adheres to metal, the better the heat exchange. So, as polarity goes up, heat exchange goes up.
In practice, most petroleum based oils, will cool at about the same rate when flowing at the same rate. However, since heavy oils will require more work to maintain RPM at the pump, that energy is converted to heat and reduces the ability of the oil to remove more heat.
So, thinner oil cools better primarily because less heat is generated to pump it.