Hi Linda,
When doing Oil Red O on frozen sections, usually the goal is to
demonstrate simple lipids (not bound to any other substance), which will
all dissolve in paraffin processing. But as Bryan stated, compound
lipids like lipofuscins can still be demonstrated by various methods,
one being Oil Red O, since the lipid part was protected from processing
by the fact it was bound to another more stable substance (protein).
If you want to go to town with lipids, look into John Kiernans book
"Histological & Histochemical Methods:...". 
Katri

Katri Tuomala
Anatomic Pathology
St.Joseph's Hospital
Hamilton, Ontario, Canada