We analytically derive the transport tensor of thermal conductivity in an ultracold, but not yet quantum degenerate, gas of Bosonic lanthanide atoms using the Chapman-Enskog procedure. The tensor coefficients inherit an anisotropy from the anisotropic collision cross section for these dipolar species, manifest in their dependence on the dipole moment, dipole orientation, and s-wave scattering length. These functional dependencies open up a pathway for control of macroscopic gas phenomena via tuning of the microscopic atomic interactions. As an illustrative example, we analyze the time evolution of a temperature hot-spot which shows preferential heat diffusion orthogonal to the dipole orientation, a direct consequence of anisotropic thermal conduction.