So, you have a variety of things carrying energy out of the reactor. Examples include:
* The divertor (think "exhaust pipe") juts into the outer edges of plasma stream where it gets heavily bombarded by alpha particles (read: the helium it's trying to remove)
* The first wall is subject to a huge radiative load by the superhot plasma, and to a lesser extent, direct bombardment
* Neutron radiation (which carries most of the energy of the reaction) impacts primarily the lithium blanket (nextmost the first wall), transferring their energy in the process.
In each case you have to work very hard to get the heat away as quick as possible so that everything doesn't... well, melt and/or vaporize (except for that which you want to melt!). For example, there are some liquid metal or FLiBe (molten lithium-beryllium salt) divertor concepts divertor concepts, and some blanket designs also call for FLiBe. Thus it can double as your primary coolant. But the key point is that either way, you have to have coolant in some form move in and draw the heat out, otherwise you're going to have a Bad Day(TM)
You then transfer your heat to a secondary coolant (either that or only use a single coolant loop) which you then run through a gas turbine at as hot of a temperature as you can in order to get the maximum thermodynamic efficiency. Your reactor then consumes its chunk of the generated power and the rest goes to market.
Note that it's not impossible to have non-thermalized fusion power generation - I've played around with this a bit in simulations. It doesn't help any with neutrons, but any power left in ions can be directly decelerated against an electric field for nonthermal power generation if you separate what you don't want to be involved in collisions from what you want to be involved in collisions. It leads to some interesting "energy recycling" possibilities, getting back power from collisions that didn't go the way you'd prefer so that you can try again. Easier said than done, though. And it does nothing to let you get the neutron energy in a non-thermal manner. The best you can do with the neutrons is multiply them in beryllium and breed your fuel, or if you don't need them for breeding purposes, put them to some other value-added function - research, production of isotopes for sale, transmutation of fission waste, fusion-driven fission, capture and transmutation to an isotope that gives off lots of decay heat (optionally trying to non-thermally capture that... very difficult), etc. The fact that they're energetic isn't really important for the majority of those things, apart from thermal power generation.