Yes, heat really helps melt the wax into the dreads and stick 'em all together. Try it with a blow-dryer, or sitting in the sun, and if you can sit in the perm chair, that's an even faster way of doing it. This isn't completely necessary for good locks, though, just another thing you can try to speed up the process.

Using a blow dryer right after you are all freshly waxed will also melt the wax right into your dread, realllly saturating it. This is also great if you can see the wax at all, or if it's making your hair look a little dull. Blow drying each dread till the wax melts will fix these probs easily!
Also use a hair dryer on 'low' to quickly dry the Knotty Boy LockSteady Tropical Tightening Gel after application. Gets them dreadies nice and tight!