In the evening , air above the land, being more heated, expands, rises up and the colder air from above the sea surface blows towards the land to take its place. This sets up he convection currents which forms the sea breeze.
There are 3 ways that heat travels: conduction, convection, and radiation. Convection happens in fluids. What happens is that as a fluid heats up, it expands. Since it has expanded, it is less dense than the fluid next to it, so it rises above it. In the atmosphere, with sea and land breezes, as either the ground or sea is warmer than the other, it heats the air above it. This air rises above the cooler air next to it. The cooler air then moves in to take the place of the warmer air that just rose up. This air then is warmed by the ground or water beneath it, so it then rises, and so on.