Heat can actually be transferred through space, that is called radiation. A planet with a constant temperature radiates an amount of energy equal to what it receives, and the energy radiated is proportional to its absolute temperature to the fourth power. (see the Stefan-Boltzmann law)
A possible solution is to cool Venus is to use a gigantic but thin sunshade balancing at the L1 Lagrangian point. A $100nm$ thick aluminium sheet blocking half the solar insulation of Venus is just going to mass $15,000,000$ metric tons. That may sound like a lot, but it is just a cube of aluminium with a side length of $180 m$, or about a third of the annual world production.
Another possibility is to use a similar sheet of aluminium as a mirror to instead heat up the planet. That may sound counter productive, but a higher temperature will allow heavier molecules to escape from the atmosphere into space. This will reduce the extreme greenhouse effect of Venus, over time decreasing the surface temperature (currently 462 °C). Hydrogen and helium are already gone from the Venus atmosphere, and carbon and oxygen are leaking too, although very slowly. A higher temperature speeds up the leakage.