No, he's not saying you need an LCD, just that some kind of output device is probably a good thing. Sounds like you may not want one, though, and you can get by that way, sure.
A knob could certainly do the trick, but is hard to make such that it's both easy to use and hard to knock to a wrong setting. But if you went with up/down buttons and an output device, that part could be easier, maybe. But it's your design, certainly.
As for the coding part, you have to get REAL specific about what you want to get people to do it for you, which is along the lines of what you seem to be really asking. 
For a true analog knob, all you need is to attach it to a potentiometer connected to an analog input. That's described perfectly here:
Another idea for a simple feedback would be to dim/brighten a single LED based on that same potentiometer input. You would attach the LED to a PWM output on the Arduino, like so:
Even if you don't use this in the final device, it might be handy for your own use during prototyping and debugging to add this.
--Donnie