Before spending $350 a THD hotplate per Lucas answer, which is basically just a high-powered volume control (variable resistor) between the amp and speaker, I would do the following:
Buy a high powered fixed resistor from an electronics components store, of a resistance (ohms) about 2-4 times the impedance (ohms) of the speaker.
Install the resistor in one of the leads from the amp to the speaker (in series.)
Depending on the setup I wanted, I might install a bypass wire and switch around the resistor (in order to not have to remove it completely)
This would cost about $10, maximum.
If the electronics store does not have sufficiently powerful resistors, you can make one up by adding resistors in series. Provided you connect in series you cannot damage your amp. But NEVER connect anything in parallel (don't ever connect an additional speaker across the terminals of your amp, you will blow the amp.)
Here's a typical circuit. Assuming a 100W, 4 ohm speaker, the theoretical performance is as follows:
One 8 ohm resistor: Impedance increases from 4 ohm to 4+8=12 ohm.
Total power from amp: 100W x 4/12 = 33W
Power to speaker 33W x 4/12 = 11W
Resistor sizing: 33W-11W=22W (though a 33W resistor is preferable)
Power reduction: 9 times (approx 10dB)
Two 8 ohm resistors: Impedance increases from 4 ohm to 4+8+8=20 ohm
Total power from amp: 100W x 4/20 = 20W
Power to speaker 20W x 4/20 = 4W
Power reduction 25 times (approx 15dB)
Resistor sizing: 20W-4W=16W total, 8W each.
Basic series circuit (will not harm the amp)
Fixed high powered resistors are cheap and can look pretty good, see example in the link below. They do run pretty hot though. Variable high powered resistors are EXPENSIVE. If this is just for practicing at home, just have a fixed resistor (and possibly a switch) and use your master volume for fine control.
There are other chatboards on the internet that discuss this solution, but nobody talking seems to have actually tried it. They theorise that damping factor (the ability of the amp to damp speaker resonances) may be an issue. But they say that tube amps already have lower damping factor than transistor amps because there is a transformer between the speaker and the electronics. So they expect less difference in tone when applying this modification to a tube amp than to a transistor amp.
I've now tried connecting a 10 ohm resistor in series with the 4 ohm speaker of my (transistor) combo and perceived no difference in tone. There was, however, very little difference in volume. I expect that the nominal 4 ohms of the speaker is in fact a worst-case value, and the true impedance of the speaker in the useful frequency range is higher. The difference is more noticeable with distorsion than clean, so the lack of difference is probably partly because I'm compensating by playing harder. Two 10 ohm resistors in series makes a noticeable difference, and three makes a significant difference.
As I said before, increasing the impedance by adding things in series with your speaker will reduce the load on your amp. With such a lot of load reduction you might expect to see some difference in tone (though all I have noticed is a slight reduction in punchiness that is probably due to the lower volume anyway.) Therefore another alternative is to place a bypass resistor across the terminals of the speaker (not the amp.) When you put anything in parallel with your speaker, it's vital to check that the overall impedance of the speaker/resistor network is at least as high as the speaker impedance the amp was designed for (with a good margin). If it is lower, you will overload the amp by making it supply too much current.
Resistor R1, 8.2 ohms in parallel with 4 ohm speaker:
network impedance: 1/( 1/8.2 + 1/4 ) = 2.7 ohms.
Theoretically only 1/3 of the power goes to the resistor, but the impedance of the speaker might be a bit higher than nominal.
2.7 ohms in series with 8.2 ohm resistor R2: 2.7+8.2=10.9 ohms.
This is nearly three times the nominal impedance of the speaker, so it should not overload the amp.
Potential divider circuit (To avoid overloading your amp, always carefully check impedance when connecting anything in parallel with your speaker.)