Heat Map and Proximity to the "Heat"

I have a data set X with latitude/longitude coordinates and a data set Y with latitude/longitude coordinates.

I'd like to create a "heat map" or density map for data set X. I'd like to then cross reference the relative heat for data set X against the location of each element in data set Y and log the "heat" at that specific location (the proximity to the "heat" if you will).

I've searched around and I can't seem to figure out how to do this. Any help/guidance would be appreciated.