Not all thermal effects are slow, mainly just thermal conduction. I have sampling scope data showing a metal bolometer attached to one of my SOI waveguide-coupled nanoantennas, with 20 ps pulses from a big lamp-pumped laser. The measured resistance changed in like 30 ps.
There are other slower processes, such as the thermalization of different energy reservoirs in loosely coupled systems--ion vs. electron temperatures in low-pressure plasmas, for instance--but in solids heat dissipation and thermal expansion is pretty fast. (Of course the actual motion of the heated metal happens on acoustic time scales, i.e. much slower.)
Cheers
Phil Hobbs