I haven't made it myself, but look at this:http://arduinodiy.wordpress.com/2012/10/19/dimmer-arduino/
With a fairly small amount of parts you should be able to set up PWM modulation of your light globes, effectively giving you a wide range of temperatures you could set them at. Warning, this project involves mains electricity!
For more control you may want to combine that with the PID library:http://playground.arduino.cc/Code/PIDLibrary
I haven't used that either, but I gather it should adjust the output (in your case, the amount of PWM) to correspond to your set point (desired temperature) based on the reading of your thermometer.