Here are the steps:
1. Get a Male Slugma or Magcargo in Gen IV and teach it Heat Wave via Move Tutor.
- Go to the tutor in the Survival area.
- 4 Red Shards
- 2 Green Shards
- 2 Blue Shards
In HeartGold/ Soulsilver:
- The tutor can be found at the Frontier Access.
Poke Transfer it over to your Gen V game.
Get a female Litwick, Lampent, or Chandelure and breed it with the Slugma or Magcargo that knows Heat Wave.
The Litwick baby will now know Heat Wave
Source: Bulbapedia/ Chandelure