As far as I know, if you underclock, there
is less heat. However, the main advantage of underclocking is that because you are stressing the hardware less you can
also undervolt. The best heat reductions are gained by doing both. But if you wanted to only do one, either one, you should still get less heat.
Think of the clock itself as cycle of how many times electricity travels through the CPU per second. And the voltage itself is how much electricity goes through each cycle. Increasing either the number of the cycles per second or the amount of voltage per cycle will increase the total amount of electricity per second. Granted, this is a very generic way of looking at it.
And, of course, the inverse is true. That's why overclocking requires a good heatsink.