Limitations of single scale approaches to study the complex physics involved in friction have motivated the development of multiscale models. We review the state-of-the-art multiscale models that have been developed up to date. These have been successfully applied to a variety of physical problems, but that were limited, in most cases, to zero Kelvin studies. We illustrate some of the technical challenges involved with simulating a frictional sliding problem, which by nature generates a large amount of heat. These challenges can be overcome by a proper usage of spatial filters, which we combine to a direct finite-temperature multiscale approach coupling molecular dynamics with finite elements. The basic building block relies on the proper definition of a scale transfer operator using the least square minimization and spatial filtering. Then, the restitution force from the generalized Langevin equation is modified to perform a two-way thermal coupling between the two models. Numerical examples are shown to illustrate the proposed coupling formulation.