You say that "density seems to be a large-scale phenomenon," and I think you're quite right. Temperature is also a large-scale phenomenon. There's arguably no such thing as a "warmer" or a "cooler" molecule, at least in an ideal gas. There are faster molecules, and slower molecules, and at any given moment in a gas, fast molecules are colliding into slow molecules, transferring momentum in the process. This means that a given molecule may go from being a faster molecule to being a slower molecule many times in a very short duration.
Indeed, it could be meaningful to describe temperature as a measure of "energy density." Consider the equation relating the average kinetic energy of a particle to the temperature of the system in an ideal gas:
$$\overline{E}_{k} = \frac 1 2 kT$$
This says, very simply, that the average kinetic energy of a single particle in a system is proportional to the temperature of that system. Since that's the average kinetic energy of a single particle, we could get the total quantity of kinetic energy in the system by multiplying the above by the number of particles (or really, three times the number of particles, given these particular proportionality constants, since a single particle has three degrees of freedom in three dimensional space). Temperature, then, really is analogous to density; density is mass per volume, and temperature is kinetic energy per particle.
So in a very real sense, there is no microscopic picture of the phenomenon you describe. Instead, there are regions in a pocket of gas in which the average velocity of molecules is higher or lower, corresponding to regions of higher or lower temperature. In those regions in which the average velocity of molecules is higher, the gas will tend to push out against its surroundings, becoming less dense if it is allowed to. In those regions in which the average velocity of molecules is lower, the gas will tend to compress, becoming more dense.
From there, the phenomenon is easily explained by the basic concept of buoyancy. In a dense region of gas, a less-dense pocket of gas will be pushed up by the dense gas, which is itself pushed down by gravity; hence warm air rises.