It functions like a mini air conditioner or heater.
Embr Wave uses something called a "thermoelectric module" to warm up or cool down. It's essentially a heat exchanger, and it contains materials that get hot or cold when electricity is passed through them. Depending on the flow of the current, the Wave can get hot or cold. The electricity is generated by a rechargeable Li-ion battery.
Here's a simplified visual illustrating how Embr Wave works: