Coarse-graining decimates degrees of freedom (DoFs), and the free-energy of the integrated-out DoF can be accounted for by endowing each of the coarse-grained particles with an internal energy and concomitant entropy. These eDPD models allow to study energy transport, however, the first-order integration scheme for the corresponding stochastic equation of motion requires prohibitively small time steps. Here we overcome this limitation by an energy Monte Carlo (eMC) scheme that i) generates the microcanonical ensemble of particle coordinates and momenta, and internal energies, and that ii) mimics a realistic dynamics. We apply the eMC scheme to a soft, coarse-grained model of polymers, deduce the universal form of the internal entropy by performing a coarse-graining procedure, and study heat conductivity of a polymer melt.