What makes spicy heat linger?
I've lived (and eaten my way around) South East Asia for nearly the last fifteen years, and I think I know the effect that you're describing. Feel free to let me know if I'm off. 

If what you're talking about is a slow and gentle burn that sort of creeps up, intensifies, and then mellows back down gradually (which is what I think you're talking about) then what you're experiencing is very likely an emulsion of a few types of peppers in a fat with a little acid, salt, and something sweet (sweet brewed soy, or even molasses). 

A common street food is chicken gizzard over hot coals that's been marinated using the above method featuring bird's eye, serrano, calamansi (green, with zest) rendered fat (duck or pork) and something sweet. There are as many varieties of that as there are street vendors cooking up all of that goodness. I'm pretty certain it's the fat that causes the burn to linger longer on your palate. 

Emulsification also helps maintain the pungency of chili in more basic (cream / curry) types of sauces in which it would otherwise mellow very quickly. 

My experience is mostly in The Philippines, but I've been all over, and I don't suspect that it's done too differently in other places. This will definitely get you the sneaky kind of sauce you want, you just have to experiment with the types and ratios of chili.  With sweetness and an acid, something like chipotle is going to introduce itself before habanero, and then take the stage again once the habanero has finished wrecking your mouth. 

What remains is some experimentation that might ... err .. hurt a little :) But what you'll eventually end up with are a few really tasty pastes that you can add to any other sauce in order to get the desired effect. Also, don't feel bad about just using combinations of ready made chili sauces (sriracha, piri piri, etc) - this can save you a lot of work and give you a more refined taste. The sky and your budget for buying them are the limit.