How do I wire a 240 Volt 500 Watt baseboard heater?
It is safe to assume you mean 500 watt and not 500 amp.

Yes, you should run 12/2 cable from a double-pole 20A breaker to the thermostat and then from there to the heater. This is the easiest way to run this circuit.
Be sure to re-mark the white wire to a "hot" color with tape or easier yet a permanent marker. Use a color like red, blue or black. 

Be sure to use a double-pole line-voltage thermostat.