I have a bump on my neck it feels like a knot. Should I apply heat and massage?

Need more. Heat and massage may help, depends on what it is. I would recommend being seen by your physician for full exam and history taking. Depending on size and depth and course, it could be anything from a bug bite, to lymph node, to muscle spasm. Need more info - onset, location on neck, duration, character, aggravating factors, relieving factors, constant or temporal, fever, sweats? Other symptoms?
Need more info. How large is it? Where on the neck? How long has been there? Is it mobile? Is there a color to it? Some possibilities are an inflamed lymph node, an abscess, thyroid nodule, cyst, tumor, skin cancer, muscle spasm, etc. You should have a physician evaluate any mass that does not resolve on its own in a reasonable amount of time.
If it sore or not! No pain, probably a lipoma or non-infected cyst. You could have focal spasm. Heat and massage may help and won't hurt. If it doesn't go away see your doc.