It depends if it is low voltage or line voltage(electric baseboard heaters)
If it is low voltage and you have the extra cable it will be easy. Just get the wire over to the new location and out the wall. Make sure you write down which wire goes where to save yourself more work. Even if you don't have enough cable you could always run a new wire from the furnace.
If it is for electric baseboards that may harder. You will have to get the wires out of the box and run to the new location. Then you will have to install a new box in the wall and run the wires into that and hook up your thermostat. If the wires are not long enough you could use the old box as a junction box and run new wire to the new location and put them in the new box. If you use the old box as a junction box make you put a blank cover over it and not drywall over it; you have to be able to access the junction box.