If you want nice paper and envelopes, just go to any stationers. A lot of art shops will sell suitable paper too, but you should be able to get something perfectly workable in Rymans or Smiths. You can also try pen or craft shops.
Wax seals are a much more difficult topic. First, you need to get a seal. I assume you don't want one specially designed for you, so you'll either have to find a perfect off-the-shelf design, or go for an initial. You can also use a rubber stamp, in which case finding a nice design might be a bit easier.
The tougher question is the wax itself. I've tried using sticks of the stuff and, frankly, it's a pain in the backside. It never seems to melt right, drips in the wrong places and by the time you've enough to pop the seal in, the first drops have already gone cold and brittle. You're supposed to stir it, but what a palaver.
You can get wafers of sealing wax in some craft shops, and these just need to be heated, then stuck in place, before applying a seal (instructions here:
http://www.hathormoon.co.uk/classic-sea ... s-66-p.asp). These are also sometimes called sealing wax dots.
Also, it's often a good idea to use some kind of pigment ink on the seal. You can either use it to make a contrast with the wax colour (for example, gold ink on burgundy wax), or the same colour (in which case, it's largely to get help ensure the seal doesn't stick in the wax).
Oh, and after all that, some numpty in the Post Office will probably drop a parcel on it.
