If you are talking about the headlight housings, it is fine. I wax mine every time I wax the car. I have done the same with the taillights as well. No problems so far. Water beads and runs off faster fi they are waxed. Never thought about rain-x, that should work too.
It would be best for new headlights to make sure and use pure carnuba or one of the polymer waxes, you DON'T want to use cleaner wax on them as the fine grit that helps a neglected paint job will mess up the coating on the lens.