As example you can put the rheostat in oil.

Actually i want to trap this heat energy and store it and then convert it into electrical energy, but as you say, then how should i extract heat from oil? I mean will the oil not dissipate heat as time passes? which would be again a loss

In all cases of conversion electricity-heat-electricity will have losses. In my opinion we can chose various concrete designs and discuss question of efficiency and losses

Yap, you can heat water (it has larger speciffic heat), which is stored in a thermostat, then you use some Peltier, thermopiles, etc. to extract the heat . In theory it's easy.

Water must be deionized one(to have a big resistance-incase of using wire rheostat. You can use water reostat too! Puting in oil a tube with water flux is also variant.

http://www.glasscampus.com/tutorials/pdf/Temperature%20Controllers.pdf

http://nvlpubs.nist.gov/nistpubs/jres/23/jresv23n2p197_A1b.pdf