Under the layer of regolith, Moon crust is mostly basalt ([1]), which has about 1.6 W/mK thermal conductivity ([2]). Not great, not terrible.

We all know how cold it is to stand on a stone floor - unlike wood or plastics, it keeps sucking that heat off.

1. https://en.wikipedia.org/wiki/Internal_structure_of_the_Moon

2. https://en.wikipedia.org/wiki/List_of_thermal_conductivities