Cold

Good explanation! So, basically the heat will radiate from the bullet into space but where does it finally settle in? I think I am looking at radiation as particles escaping from the bullet. If this is the case, where do these particles go? They must go and settle somewhere, surely?

If they hit something, they might be absorbed, and you'd eventuallyget other photons coming out. But it's a big universe, so it might take a very long time before that happened.