I'll admit this can get confusing... thetaJA, thetaJC, Pd, temperature, etc.
Here's a very simplified view:
Power Pd = current x current x Rds
Pd = 2 x 2 x 0.0095 = 0.038Watts (or 38mWatts)
To figure out a rough value for the temperature, look at Rtja (R theta junction to ambient).
Rtja is given in degreesC/W. What that basically tells you is how many degrees the part will rise for each watt of power.
So, to find the temperature rise take Rtja and multiply that by the power Pd:
Trise = Rtja x Pd, or in this case
Trise = Rtja x 0.038W
For a TO220 case, Rtja is typically around 60degC/W, so if you had one of those:
Trise = 60degC/W x 0.038W = 2.28 degC
If you're at normal room temperature (25degC) the part would be about 25 + 2.28 = 27.28 degC
BUT, that FDS6680A isn't in a TO220 case, it's in a little SO8 package.
If you look at the 'notes' section on pg2 they show Rtja values for three different PCB heatsink arrangements.
The last figure shows what the value for no heatsink, and that's 125degC/W.
A small plastic package gives a lot worse temperature... that makes sense if you think about it.
So, for the SO8 part w/no heatsink:
Trise = 125degC/W x 0.038W = 4.75 degC
The thing that saves your butt with that package is the low value for Rds.
For comparison, if you go back to the IRL520, assume Rds = 0.38 ohms and a TO220 case:
Pd = 2 x 2 x 0.38 = 1.52W
Trise = 60 degC/W x 1.52W = 91.2 degC
If you're at room temp of 25 degC, that part would be at 25 + 91.2 = 116.2 degC
Time to break out the marshmallows!