The honeycomb Kitaev model in a magnetic field is a source of a topological quantum spin liquid with Majorana fermions and gauge flux excitations as fractional quasiparticles. We present experimental results for the thermal Hall effect of the material $alpha$-RuCl$_{3}$ which recently emerged as a prime candidate for realizing such physics. At temperatures above long-range magnetic ordering $Tgtrsim T_Napprox8$ K, we observe with an applied magnetic field $B$ perpendicular to the honeycomb layers a sizeable positive transversal heat conductivity $kappa_{xy}$ which increases linearly with $B$. Upon raising the temperature, $kappa_{xy}(T)$ increases strongly, exhibits a broad maximum at around 30 K, and eventually becomes negligible at $Tgtrsim 125$ K. Remarkably, the longitudinal heat conductivity $kappa_{xx}(T)$ exhibits a sizeable positive thermal magnetoresistance effect. Thus, our findings provide clear-cut evidence for longitudinal and transverse magnetic heat transport and underpin the unconventional nature of the quasiparticles in the paramagnetic phase of $alpha$-RuCl$_{3}$.