We construct a scattering theory of weakly nonlinear thermoelectric transport through sub-micron scale conductors. The theory incorporates the leading nonlinear contributions in temperature and voltage biases to the charge and heat currents. Because of the finite capacitances of sub-micron scale conducting circuits, fundamental conservation laws such as gauge invariance and current conservation require special care to be preserved. We do this by extending the approach of Christen and Büttiker (1996 Europhys. Lett. 35 523) to coupled charge and heat transport. In this way we write relations connecting nonlinear transport coefficients in a manner similar to Mott's relation between the linear thermopower and the linear conductance. We derive sum rules that nonlinear transport coefficients must satisfy to preserve gauge invariance and current conservation. We illustrate our theory by calculating the efficiency of heat engines and the coefficient of performance of thermoelectric refrigerators based on quantum point contacts and resonant tunneling barriers. We identify, in particular, rectification effects that increase device performance.