Levitate is usually the better idea, as the ability to switch in on Ground type moves is excellent. Heatproof does not allow you to switch in on anything really, besides Hidden Power Fires. It does not allow you to switch in on the common Fire types of UU, who will hit you too hard with the common Flare Blitz/V-Create.
However, Heatproof does have its uses, mainly that when Bronzong does switch in successfully, any future Fire types sent in will only 2HKO. And most foes will not launch a Ground type attack on you.
However, the problem with this is that Bronzong is only able to 2HKO with Earthquake for the standard sets (it is able to OHKO with full on Attack investment and Stealth Rock). So Fire types are still a huge threat to Bronzong.
Pros: The foe won't attack with Ground attacks likely and you'll be able to better survive HP Fire.
Cons: An experienced player will know that you are running Heatproof based on the lower than usual damage dealt or when you aren't using your Bronzong to take Ground type attacks for the team. And since the main worry should be experienced players, this greatly reduces Heatproof's use. Also, it will not allow you to survive actual Fire types. This ability also costs you an immunity. Finally, if the foe has Spikes out (common thanks to Roserade) your ruse will instantly be revealed.
Pros: Immunity is always nice. You can always just switch on Fire type attacks. This also allows you to avoid Spikes, increasing Bronzong's survivability.
Cons: You take more damage from HP Fires.
So yeah, I would definately go with Levitate.
Also touching on Air Balloon+Heatproof, this isn't a very good idea. Since the game announces that a Pokemon is holding the Air Balloon the foe will instantly know you're running Heatproof, thus getting rid of one of the greatest advantages of Heatproof. Since Bronzong doesn't KO foes before it gets hit, the foe can easily break your Air Balloon and then launch an Earthquake at you. This also comes at the cost of Leftovers healing, reducing its survivability, especially due to a a lack of healing outside of Rest.
This comes from years of competitive battling experience with both Bronzongs. And Levitate has always proven better.