It was anything but sly. He occasionally writes "I, I mean, Horselover Fat..." and never once concretely states that he and Fat weren't the same person.
Valis was part of Dick's attempt to interpret and come to terms with that experience
Philip --> derived from the Greek Philippos, meaning: lover of horses. Dick --> German for fat.
> I am Horselover Fat, and I am writing this in the third person to gain much- needed objectivity.