I'm assuming you are talking about mammals here, because it makes a difference. Thermoregulation in mammals is an involuntary process based on feedback loops. The main control system is in the anterior region of the hypothalamus, which contains temperature sensitive neurons which monitor blood temperature. The hypothalamus also receives temperature information from sensory neurons scattered throughout the body.
The hypothalamus has control over most of the temperature maintenance mechanisms. Although it has been referred to as the body's thermostat, the analogy is not a good one, since thermostats are simply on-off controls, and the hypothalamus can send out a range of responses.
If the body core begins to cool, the hypothalamus can cause vasoconstriction, which shunts blood flow away from the skin and extremities to help slow down heat loss. The hypothalamus can also initiate shivering, which burns calories and produces heat, and it can increase cell metabolism so that fat is converted into warmth.
If the core temperature rises, vasodilation shunts blood to the skin's surface so heat can be lost. The hypothalamus also has control over the eccrine glands, which produce sweat that can evaporate and carry away energy from the body in the process.
There are voluntary thermoregulatory activities that mammals do as well, which probably evolved because they increase the efficiency of the involuntary mechanisms. These include things like moving to a warmer or cooler spot, becoming more or less physically active, and seeking shade or sunshine. While they support the involuntary mechanism, they cannnot replace it.
Temperature is an involuntary nervous response where temperature is involved. In higher level organisms, and added voluntary response can occur, but is not always necessary or required as it is in response to the involuntary sympathetic nervous systems action. The preganglia release acetylcholine activating the particular postganglia which in turn usually release norepinephrine to activate the corresponding body organ. For instance, if the room is cool, the sympathetic nervous systems sends messages from the short preganglia to the long post ganglia which control the small muscles in the body hair. The impulse raises the hairs in an effort to trap warm air close to the body. We call this getting goose bumps or goose skin. (In higher organisms, a sweater or jacket may be put on as well) Other preganglia control the sweat glands which serve to cool us through convection when our bodies become too warm. The bodies involuntary effort to maintain an adequate temperature is homeostasis