How to hook up a rheostat to a heat lamp?

I want to control the temperature of a small enclosure and a thermostat hooked up to a small heater would be nice but seems hard to manage. I believe that a rheostat hooked up to a heat lamp will be my best option. The pre-embled ones at the pet store are WAY overpriced. The have rheostats at radio shack but oviously they aren't hooked up to anything. Clearly I have very little XP in electrical stuff. will anyone tell me or direct me to a place where I may learn how to attach a rheostat to a heat lamp so I can control the heat output?