A magnetic skyrmion is a swirling spin texture discovered recently in magnets without inversion symmetry. Because of their compact size, high mobility and the ability to create or destroy them by electric currents, skyrmions are regarded as promising candidates for applications in memory devices. We study the skyrmion dynamics in multiferroics subjected to a thermal gradient. The thermal gradient generates a spin current that flows from the hot region to the cold region. The spin current interacts with the skyrmion through the spin transfer torque, which drives the skyrmion the hot region to the cold region. When the sample is embedded in a circuit, the motion of skyrmion induces an ac electric current in multiferroic insulators. Our results demonstrate that skyrmions in multiferroics are a promising route for spin caloritronics applications.