What kind of enclosure are you using, what kind of heater, and how are you measuring the temps?
My solution would probably be to take the rheostat back and tell them it doesn't work, and then pick up a lamp dimmer at a wal-mart or a home improvement store. (I have one that you can plug your heater directly into, without doing any crazy wiring, and it cost me $10) When I turn my dimmer to its lowest setting, my lamp goes all the way off, so I can be pretty sure it's good.