No amount of goz or wax will help mate. It's all about getting the seals fur (or any other dubbing for that matter) to stick, or rather 'knit' to itself, then tighten around the thread.
As Taff says, you could be using too much. Try a very small pinch.. spread it out slightly in the palm of your hand, offer up to the thread, then with a swift, firm roll between finger (index or middle) and thumb, roll it around the thread in the same direction - usually clockwise, or away from you - it should now have formed a reasonably tight rope around the thread. Now, take a larger pinch, but hold it in the opposite hand to which you rolled the first batch. Offer this up to your 'rolling' hand and pinch a few fibres from the fresh bunch, rolling as you go. Piching off the 'supply' bunch and rolling is one flowing movement. Keep repeating this process unitll you are happy with the end product. With practice you will be able to just grab a lump of seals fur, offer it up, and roll away. Remember - the dubbing is not sticking to the thread... it's sticking and 'knitting' to itself, and you tighten it around the thread.
Edit -
Sypho posted whilst I was typing. Good advice there. I agree with the dry hands thing. If anything, it's fingers that need waxing or gozzing on! One of the reasons I have a moisturising routine!

Also, try just rubbing your thumb and rolling finger together, pressing reallt hard... usually fetches a little grease to the surface.