I have never personally seen it but I am sure it could happen if you used a light dimmer switch.
If you go to Lowes (or HD) you will see they make lamp dimmer switches and fan dimmer switches. The fan versions are 5X more expensive because they handle much more power if memory serves the will handle up to 500watts (which is the same as what most thermostats will handle).
Just make sure you get a high power dimmer switch if that is the way you want to go...but personally I would at least recommend you get a Ranco (or Johnson) thermostat (these can be had for $70 wired) then you won't have to worry and will have room to grow.