I have two windows in one room. Under one window I put a 2000 watt heater and under the other window I put a 1500 watt heater. I have already ran a 240 12/2 red and black wire with ground from the thermostat to the first heater. My question is: How do I wire up the second heater without running all the way back to the thermostat?

Continue onto the second heater from the first with a two wire plus ground cable.

Based on what you say, it's easy. You have 1 black and 1 red to the 2 black heater leads? If so, make up 3 pigtails, wire nut the same color leads and pigtails. Pigtails go to the first heater and the extension 12/2 goes to tne second heater. 1 T'stat controls both.