At this point in time I'm not sure if you can. AFAICT, current options include burning the Lion Installer to DVD, or installing it on a HD, USB stick or SD card as described in the following articles:
However, the methods described there make use of the InstallESD.dmg file present in a standard Lion Installer download, and therein lies the rub: it's not clear to me whether this file is present on a Mac that shipped with Lion, like your iMac, but I doubt it. If it isn't, and Apple allows you to download a copy for free (Lion Internet Recovery?*), you sure won't enjoy your dialup connection (if it works at all)...
*) In your case Apple may refer you to its Lion-on-a-stick option.
