I want to slow down my 3 wire fan. Which wire do I add the resistor to?

An easy solution would be to get a baybus

You can slow down/speed up about 5 fans with one...

its either the red or black not the other one (that is for rpm monitoring)

Both the red and black. Yellow is always for RPM monitoring...

Baybus linkeh

The resistor goes on the red wire. You might try a 25 ohm 3W Potentiometer available from Radio Shack. This will give you variable fan speed for $3.99 plus tax...much cheaper than a BayBus if you're only quieting 1 fan. Be sure that your fan is under 3W at 12v; otherwise, you'll need to go with a higher capacity Pot.

Watts = Volts x Amps

3W = 12v x .25A
(You need a fan .25A or less @ 12V)

If I don't then what happens?

the only rheostats available at any of the Radioshacks at my area are the big long ones(the volume control). Yuck!

If there is more current being dissapted by the resistor that it is design to withstand then it will eventually burn out and open, leaving you at some random time with a fan that stops working. Not good, yes?

You can place the resistor on either positive or ground, it does not matter because it is series (between source and fan). No matter where you add the resistor, current will go down, and therefore the voltage across the fan will likewise go down.

That's probably about all you will find easily. You should be able to find a place to mount it where it looks nice. You could also calculate what voltage you want the fan to run at for a given CFM/RPM and try to find a resistor(s) to drop the voltage. You'll probably find that the resistors are bigger than the rheostat!
or
You could use the rheostat to determine what resistance gives you the results you're looking for and buy the appropriate resistors. The difficulty in calculating the resistor directly is that as the RPMs of the fan slow with lower voltage so do the amps that the fan draws.

Radio Shack sucks, if you want quality parts, try Mouser or
Digi-Key. They both have websites, mouser.com and digikey.com. NTE is also a good source for quality components. I rarely use Radio Shack for anything unless it is something I need right now.

Something important that many people overlook when controlling fan speed is that the CFM to RPM ratio is not a linear curve. It is a logarithmic equation. What this means is that halving the speed doesn't half the CFM, it would be way less than half, more like 20-30%. An example would be a 60CFM fan, we cut the speed in half, it is now 18CFM. This is a rough estimate because I can't remember the exact equation to use to figure the CFM/RPM ratio