I am sorry to say I disagree with the other answers.
It is best to fix and then to go into wax processing without sucrose. If the tissues have been through cryopreservation with 30% sucrose the membranes tend to look wrinkled after wax processing. If you are looking at large structures then it will be ok but if you are looking at fine structures they may look strange. If this is the only tissue you have then leave it PBS at 4oC for 2 -3 days (change the PBS each day) to remove the sucrose then do the normal wax processing.
Thanks so much for your tips. I have to say that the tissue is already fixed in PFA/Glutaraldehyde. Since I intended to do cryo sectioning at the beginning, I kept them in sucrose/formalin with sodium azide for long tissue preservation. Now I need to go for paraffin processing and I think it is a good idea to get rid of the sucrose first and then process for paraffin. By the way, it is rat brain, could I possibly ask for detailed timings in series of alcohol, xylene and ... for tissue processing in paraffin?