If you're using lacquer there's no problem, at least with the lacquer and wax that I use (both made by Veniard). Remember that you're probably using pre-waxed thread already anyway.
One potential problem with finishing the head and a heavily waxed thread is that pulling the whip finish tight will scrape wax off and cause a little lump of wax at the knot. This doesn't make for a smooth finish; you'll want to remove it before applying paint or lacquer.