I did. The alcohol leeches citrus oils out of the skin. Don't want anything blocking that action.
Also...wax is only going to be on commercially produced lemons...so folks picking them off their own trees or getting them from a natural orchard won't have wax on them to start with.
I think it is best to use organic lemons, if you can and even better
home grown lemons. This was a bumper crop year so if you are in an area where there are lemon trees, I bet you can obtain some home grown ones. So much better.