I didn't want to talk about dilution because I wanted to keep it simple, but yes, chilliman is correct about dilution. I just wanted to state that in the bottle it was a weighted average and not additive.
I usually ignore sauces which tout their SHU rating because for the most part because if that is their major selling point, it usually lacks in the taste department, and because of the dilution factor that chilliman talked about. Unless you are drinking it straight from the bottle, its best to just find a flavor you like and get it in a ballpark. If you don't want a lot of chili flavor and want to add heat, a little of a hotter sauce is the way to go, but if you want the chili flavor to dominate, than just concentrate on finding a sauce with a flavor you like and add until you are happy.
When a producer gives a SHU number, remember it isn't accurate. Chances are it is rounded up from the hottest test sample, and not indicative of the product as a whole. Not all chilis, even from the same plant, are identical.
Also remember, that as you increase in SHU units, your tongue has less of a gauge of how hot it is. Eventually, you just reach a point where it burns like hell.