I don't think fan heaters have a regular temperature control thermostat - the element gets hot and a fan blows air over it - expensive fan heaters may have a thermostat and some may have an overheat cut out in case the fan stalls or fails. Multi-heat setting fan heaters will just have a second heating element to switch in and out.
You do not mention the make or model of your heater.
If there is a thermostat it will be inside the case.
Peccavi, January 2010