Use a box, place a warm or cold source in the box and place the LED into the box with the LED still connected to the multimeter outside the box.
Make sure the top of the LED is pointing toward the object being measured. You may need to use tape, string, or wire to hold the LED in place.
You could also use a dark closet and have one person hold the LED and another record the observation while standing outside the closet.
If you are surprised by the results, review the infrared spectrum.
