The surface temperature of Mercury at the poles at 85 has a maximum of 380K (107C). The temperature falls to a minimum of 80K. Cold enough to liquefy oxygen at atmospheric pressure. A polar mining project would likely collect and store heat. At the pole itself the temperature stays around 180K (-93C). The craters near/at the poles are in permanent shadow and contain most of the water and volatile elements. You could get heat/energy into the craters by using a mirror.
At the equator the temperature drops to 100K (-173C) during the night. We have mirror materials that can handle the 700K daytime maximum. However, a mirror would not reach 700K because it does not adsorb the energy. You can freeze ice or other materials during the night. You can also place a radiator below a shade. The radiated heat can go to space so long as it points above the horizon and is also shielded from the rest of the surface. The average surface temperature of 340K(66C) is reasonably comfortable for robots and only requires 40C to 45C of air-conditioning for humans. A substantial mining colony at the equator should not have much difficulty cooling the rocks around their tunnel systems.
At mid latitudes the mean surface temperature is close to human comfortable. The extreme swings would still be an issue but we can use the rocks as thermal mass. Radiators are easier to shade and can radiate heat toward the pole which allows for a much denser population.
Completely mining Mercury (destroying the planet and turning it into a ring or cloud around the Sun) is easier than moving it closer to Venus. It takes less energy. The mining operation can also use the materials mined from Mercury to capture the Sun's energy. Disassembling Mercury could be a self contained (or nearly contained) project. Moving Mercury intact requires finding the energy and machinery from someplace else. I cannot think of a reason to leave the planet intact if your stated motive is to mine it.
Kim Stanley Robinson's book 2312 has a city called "Terminator" located on Mercury. The name comes from the line where sunlight hits a surface. You can see the terminator line move across the moon. Robinson's Terminator rolls on tracks so that is stays slightly ahead of sunrise. They have panels above their dome to capture sunlight and energy. The city's propulsion comes from the tracks.
Terminator is located far enough north that the rotational speed is about the same speed that an athletic person can hike. It is a tourist destination where people try to walk the full 360 degrees in 115 days. Of course things can go wrong but I will avoid spoilers.
Performance art and ecology are much higher priorities than mining to the main characters in 2312. Mercury makes some revenue selling reflected solar power to the Saturn system. Titan sells nitrogen to Mars.
Question: where does one put Venus? A possible answer: turn Mercury into a satellite of Venus? It'll make a pleasing sight for us Earthlings too, although wasted on any Venusians, of course.