I've this doubt regarding resistor: suppose I make a simple circuit with a power generator of 3 Volts and 1 Ampere and a resistor of $10 k\Omega$  I know from Ohm law that the current flow $i$ is:

$$I=\frac{V}{R}=\frac{3 V }{10000 \Omega}=0.3mA$$

So if I place my multimeter in series after the resistor I can measure exactly that current , and if I place the probe in parallel I can measure $3V$ so in this case I think that the resistor regulate the charge flow to 0.3 mA but in fact is the whole circuit to dissipate this current after the resistor regulated it, because I can see it passing through the multimeter ( and indeed 0.7 Amp give by the generator are not dissipated).

Shorting out the circuit with no resistance attached I can't measure an increase of temperature (I think because I'm not working with high power) but if a use a smaller resistor (e.g. $2 \Omega$) I can fell it getting hot so I infer that a smaller resistor dissipate more energy (in this case I've $1 Amp$ passing through it) but I think that this is no more a good charge regulator because it dissipate a lot of energy through Joule effect.
So I don't know if exists materials that can be a good "charge regulator" (e.g. a good resistor) and material that can be good "energy dissipator" (e.g. good heater). I've tried to make my homemade analogous resistor cutting $3,5 cm$ of a kanthal wire with a resistance of $57  \Omega / m$ but I can't measure correctly if this dissipate better the energy. Can anyone tell me what really do a resistor?