The ability to teleport is mostly associated with angels. They use divine energy channeled through their halos to transport themselves across dimensions. Other types of magic are very difficult to learn, but the basics of this skill comes fairly naturally to angels as the halo does most of the work for them.
Teleportation is comparable to opening a dimensional gate, except that the connection only lasts for the time it takes to teleport and only allows the teleporting person, and anything they can pull with them, through.
Like with a gate, you can only teleport from a point in one dimension to a point in a different dimension. This means that if you want to use your teleportation powers to, for example, travel 10 miles in any direction, you have to go to a completely different dimension and use that as a half-way stop before going back to the dimension you came from.
Teleportation for angels
Most angels don't use teleportation to move around one dimension unless they need to travel long distances, since it's a skill that's quite hard to utilize properly. Far from everyone has a good feel for transporting themselves like this, and it isn't uncommon for angels to end way off from where they wanted to go. However, due to Heaven's multidimensional structure, it's an integral everyday thing to teleport if you want to get around between the different circles and other angels' personal paradises.
Teleportation for other creatures
Although extremely rare, it is possible to use some offshoot forms of elemental magic to teleport without a halo. It isn't nearly as common as seeing non-angels learn to open dimensional gates, but teleportation powers have been recorded in a few demons.