You can also create your PID (discrete) block on your own based on the difference equations.
y(k) = yp(k) + yi(k) + yd(k)
yp(k) = Kp e(k)
yi(k) = yi(k-1) + Ki Ts e(k)
yd(k) = Kd / Ts (e(k) - e(k-1))
To model the delays of your error (in your case the difference by actual temperature and the set one) by usit the Unit Delay block in the Simulink library. If your goal is to learn how a PID controller works I would suggest you to try approaching the implementation from equations and then validate your results with our own block that was suggested by Rong.