Rhetoric is the art of persuasion, whether through writing or through speech.
Therefore, rhetorical devices are techniques that are intended to help an author or a speaker be effective in persuading his or her audience. These devices can be used to emphasize major points, to help organize one's presentation, or to give one's speech or written argument more style.
There are many rhetorical devices. In fact, the link below lists sixty rhetorical devices. A rhetorical question is one of those rhetorical devices.
Other rhetorical devices include such things as analogies, alliteration, hyperbole (exaggerating so as to help make a point) and its opposite, understatement.
Rhetorical devices are figures of speech; devices that create various kinds of linguistic-semantic effect in poetic language. Rhetorical figures are part of the defamiliarizing quality of poetical language with all its deviations. Rhetorical figures are not just decorative but functional too. They are connotative markers of poetic language. There are many such figures of different kinds based on structural or semantic grounds. Some common figures are personification, alliteration, simile, metaphor, oxymoron etc.
Rhetorical question refers to a particular kind of a question used in poetic or imaginative language where the answer is not given directly, but is implicit in the structure and content of the question itself. These questions add to mysterious quality of creative language by enhancing its implicatory aspect. A famous example is the line from William Wordsworth's poem Solitary Reaper--"Will no one tell me what she sings?" There is none around in the place and the poet does not know Gaelic, the language of the girl's song. So, the answer is implied to be negative. The mode of question indicates the impassioned and desparate condition of the poet.