I use a wooden box made from 3/4 inch pine with a piece of 1/2 inch plywood for a top. For heat I use an incandescent light bulb, not one of the coil florescents. The wattage of the light bulb would depend on the size of the box. I use a 60 watt bulb in a box about fourteen inches square. The light bulb lies in the bottom of the box and there is a floor above it made from rat wire (hardware cloth). I laid some slats of thin wood over that to keep the clay from direct exposure to the light bulb. Wooden cigar boxes would be ideal. That's where I got my slats of thin wood. I am my own thermometer; when the clay starts getting a little softer than I want it I turn off the light bulb for a while. I put one of those inline switches in the electric cord. I used to just unplug it. It works for me. In fact, I can't imagine anything that would improve it, other than maybe a thermostat switch with a temperature control knob. I won't be doing that; what I have works just fine.
As an aside, I use Klean Klay, which is sulfur free, and costs practically nothing from Dick Blick. He calls it Blick Gray Modelling Clay. Costs a bit over a dollar a pound. It's about double that direct from the manufacturer. Go figure.