The chocolate candy melts as a result of heat transfer through conduction.
Conduction, which is the most common mode heat is being transferred, involves physical contact. The temperature gradient that exists between the two bodies in contact is what brings about the transfer of heat.
The reason the chocolate bar will melt in your hand as heat is released from your body is that your body has a greater kinetic energy than the chocolate bar, thereby creating a temperature gradient. Thus, thermal energy is transferred from your body via your hand to the chocolate candy which later melts.
Therefore, the chocolate in your hand melts simply because through conduction, heat is transferred from your hand to the candy.
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