When I first read Heathcliff putting a lock of his hair in Cathy's locket before her burial, I thought it was his way of asserting a claim to her. On my second reading, though, I made a connection I didn't the first time: in their last conversation of Cathy's lifetime, Cathy pulls a lock of hair out of his head. He's not marking territory; he's giving her what she would have taken from him.
There are other things both of them say in that last conversation - she says she wishes she could hold him until they were both dead, he asks her how she'd like to be in his place, left to live on when his soul is dead and buried, she says she only wishes for them never to be parted, etc etc, but the most telling line to me is from Cathy: "That is not MY Heathcliff. I shall love mine yet, and take him with me: he's in my soul." (bolding mine)
When Cathy pulls his hair out, she's symbolically pulling him into the grave with her. When he puts his hair in her locket after she dies, he's giving her his full permission to do so.
