Go for Paraffin sectioning. Prefer 4% Paraformaldehyde as a fixative instead of 10% formalin. To avoid auto fluorescence Antigen retrieval must be done.
Dear Sachin, may I suggest reading the following RG-thread @ http://www.researchgate.net/topic/Histology/post/Is_there_any_suitable_staining_method_protocol_for_lipids_in_paraffin_sections?
as well as: https://www.researchgate.net/post/Does_anyone_have_ideas_about_lipid_fixation_for_fat_staining_in_paraffin_sections
Perhaps you'll find there some valuable information on your task. More detailed information about the proteins and lipids you want to localize (in which tissue?) would be an advantage/beneficial for helping you more efficiently. Regards, Wolfgang