Hi Claire. It looks like the larva of one of the Eggar moths, perhaps the Oak Eggar Lasiocampa quercus? One of the main food plants of the Oak Eggar is heather.....!! Have a look at UK Moths and see what you think http://ukmoths.org.uk/show.php?bf=1637
Gill is right with her suggestion of Oak eggar, Lasiocampa quercus. North English and Scottish populations with a 2year life cycle were given separate status for a time as Northern eggar, but it is generally agreed now that they are all the same species.
I don't know if Gill is bothered about point attribution, but she warrants the "correct answer", not me.