As long as you get the temperature right it can work.
That said, I wouldn't aim the heat lamp directly at the egg because infrared heats the object it is aimed at so it could ruin the egg. Instead of a heat lamp, I would just use a regular incandescent lamp because it will heat the air rather by radiating heat rather than the object it is aimed at. You can adjust the heat by moving the lamp closer or farther away or by changing the wattage. You could also put a dimmer in line to adjust the heat.
You want the temperature to be 99.5.
You'll also need a water source for humidity.