This paper discusses a multi-scale device modeling scheme developed at Arizona State University for calculating the self-heating effects in nano-scale silicon devices. The first level of multi-scale modeling involves coupling of a two dimensional particle based device simulator, that uses the Monte Carlo (MC) method to simulate the transport characteristics of electrons in the device, to a self-consistent Poisson's equation solver for the charge distribution inside the device, and the energy balance equation solver for acoustic and optical phonon bath to account for the self-heating effects. At the next level, the device simulator is coupled to a Silvaco model which solves for thermal transport in circuit level interconnects. As such, the proposed and implemented multi-scale thermal modeling scheme forms a complete tool capable of analyzing thermal effects on an integrated circuit (IC). Some preliminary results from the scheme are shown that depict a good match with the experimental data for the sensor lattice temperature.