A rheostat can work, as long as it can take the heat. You're running the entire current through the resistance path of the rheostat, so it can be a significant amount of heat, too, which is why the dimmer switches at Wal-Mart the OP referred to don't do it this way. I don't know how efficient those AC fan motors are, but if they draw any significant amount of current, you could burn up a rheostat pretty quick.