I used one of THESE on my setup to control a hot water heater element and, so far, it has worked fine. They're pretty reasonably priced on eBay. This particular model does have a relay built in, but it is not rated to handle the load of a hot water heater element, so I did have to use a seperate relay.
I placed my temp sensor on the exit-end of my heat transfer coil, so it is measured right before going back into the mash tun. You just set these like a thermostat, and (assuming you've wired it up right!) that's about all you have to do in order to maintain a temp. One display is for the actual temp, the other is for the target temp.
I have some pics of when I was test-wiring mine here: http://www.photosbyjasonsmith.com/electrical