Wax seals were used to prevent important letters from being tampered with. Hot wax would be dripped onto the envelope and then a metal seal - often a signet ring - would be pressed into it. If the seal was broken the recipient would know the letter had been opened by someone else.
This line is a classic example of Cathy being more in love with the idea of Heathcliff than she is with Heathcliff himself. She has a perfect Heathcliff in her head, and she knows how this Heathcliff would act towards her. When the real Heathcliff fails to measure up to this ideal she reverts to the comfort of the imagined one. This fits with the childish, spoilt character of Cathy who cannot deal with not getting what she wants.
If any man's work shall be burned, he shall suffer loss: but he himself shall be saved; yet so as by fire.
1 Corinthians 3:15