How do I control a heat lamp with a thermostat?
Without AC wiring experience, I can't recommend that you do this. A better suggestion would be to use a space heater in a closed off space (no flammable materials and have a smoke detector if you're going to leave it unattended).

However, if you ignore that, then at least consider the following.

Use an AFCI protected outlet. The arc-fault breakers will trip when things start sparking, hopefully before they burst into flames.

Make sure your switch is designed for your AC voltage. Wiring for HVAC thermostats are usually 24v. To use one of these, you'd need a 24v transformer and some kind of solenoid/relay to safely close the 120v circuit. They also make thermostats designed for 120v AC power, which would be a better option.