OK as to the beginning, I am guessing you do not yet have a temperature sensor or transmitter scheme? If not, what is the approximate temperature range you are looking at?
The rest isn't that difficult. I would think about a comparator circuit to drive a simple relay configuration. I would use a DPDT relay with contacts rated to handle the lamps. Temperature exceeds setpoint and lamp A is on with lamp B off. Temperature below setpoint and lamp B is on with lamp A off. I believe that is what you are after? I would add some hysteresis likely in the comparator circuit so the relay isn't freakig out as the temp hovers around setpoint.
Ron