The following paper addressed this issue: Histopathology. 2002 Jul;41(1):75-9.
A method to fix lipids for staining fat embolism in paraffin sections.
Tracy RE1, Walia P.
However, it is not clear if the preparation of paraffin sections is as usual as in the conventional procedures i.e. apply solvents like xylene as clearing agents and also for dewaxing? I want to apply Oil Red O stain for staining fats in paraffin sections. So I hope that anyone have an idea about this may tell me some details.