The Medicine Journal explains us why cauterization is used in some situations and how it can help or hurt us. Cauterization has been shown in many movies, as in Rambo too, as being a procedure that burns cut wounds and stops bleeding.
Well, this is true. It does stop wounds from bleeding, but it readies the place for infections. You can save yourself now by cauterization, by burning the wound, but you may die a week later of chronic infection.
Nowadays cauterization is done chemically or electrically in only certain situations and should not be performed in the way you see it in the movies. In any case, it is cool that somehow those Rambo movies got something right!