95% of all patients receiving Physical Therapy will ask this question. The answer is dependent upon the severity and the stage of the injury.
If unsure of the severity of the injury, please be evaluated by a medical professional. But as a rule of thumb, during the initial or rather the acute stages of an injury, Icing would be the modality of choice.
Icing the the injury limits the inflammatory process and decreases the pain. On the other hand, injuries that have lasted for more than a couple of weeks would be considered chronic and therefore, heat would be indicated. Heat is a modality that increases the blood circulation to the injured body part.
Heat will also make the injured tissue pliable, making the break down of adhesive scar tissue easier.