How to do a thermal analysis in solidworks in transient state( initial temp, mid temp and final temp)

It can be done using Transient thermal analysis but you should have license of SOLIDWORKS Simulation Professional to carry out static and transient thermal analysis.

when you set the study to transient in the study properties, you get an additional option (variation with time)on your thermal load where you can assign your varying temperature along the transient study time.

This allows you to enter time periods for your load with 0 being no thermal loading and 1 being the maximum value put in the temperature box, therefore make sure you adjust accordingly. Another option would be to have three different thermal loads that are turned on and off as required for the different temp states i.e. 0-300seconds - 25Deg then off for the remainder of the study. and the next one will be off for the first 300seconds before turning on etc.