a) I'd be very, very doubtful of proceeding with this... safety grounds. See...
... however, as you are likely to proceed anyway (<^_^>)... be very, very "pessimistic" about what "could happen". Enclose the relay board PROPERLY. Think hard about how you can reduce the chances of any interconnection between wires to Arduino and mains power lines. And make the whole thing physically robust.
b) Regarding interpretation of the diagram....
The three circlurlar things in squares with three wires out of them are meant to be "cross sections" of the cables for powering your heater. (Three: Live, neutral and earth (also sometimes called ground))
The top square is for the wire coming from the plug from which the electricity is coming.
The relay board is similar to the one you have... but has TWO relays... it is like two of your boards, one above the other. The diagram shows controlling two heaters. For your purposes, just "erase" the lower relay (blue rectangle), and the lower (on right) square-circle-3-wires.
Which leaves the "upper" (of the pair at the lower right) square-circle-3-wires. This is the cable TO your heater.