To add heatmaps to your projects, go to the Rankings tab on your project. Heatmaps are in the sub tab section, next to Prompts.
Then, go to the 'Generate New Heatmap' button to add a new heatmap.
You can select between average rankings (which shows your average ranking in the area for a keyword) or competition density (which shows the density of competitors in the area).
Make sure to choose a local keyword and the right target location. Grid size expands or reduces the target radius.
When ready, click the generate button and wait 20-30 seconds. It'll then generate the heatmap.
If you'd like to save it, click 'Save Heatmap'. You will then find it in your saved section. You can add heatmaps to your report by clicking the '...' on the end of a table row. Click 'Add to Reports' to add it.
This rescans once per month and provides change data (improvements and declines) when available.
Here's a video if you need some help: