I don't know if the game does this (I've seen no indication) but when you're maxed out on heat, it goes nowhere!
I think there should be a Heat to Crown conversion, or divide the heat amongst the rest of the party (And if everyone is maxed, convert to crowns). The conversion rate would be to your (The developers) discretion, obviously.
Well, heat is shared between the party anyway, so everyone has the same amount at the end of a dungeon run.