Starting with one terminal of the battery, connect a wire to it and to one end of the rheostat. Connect another wire from the other end of the rheostat to one side of the bulb. Connect another wire from the other side of the bulb back to the battery.
By sliding or rotating the rheostat (depending on the model you have) the resistance to the current in the circuit is either increased or decreased. The increase in resistance causes less current to flow, making the bulb dimmer. Conversely, the reduction in resistance causes more current to flow, making the bulb brighter.