I don’t see anything wrong with that. Sliders may slow things down a little bit obviously over of not using them at all, but as long as your sliders only contain images, I think you should be okay. Where the slider start to lag down the loading of the site is when you’re trying to access videos from Vimeo and YouTube.
Can I use lightbox in a Gallery of photos? I couldn’t see how to put it in to the gallery.
You just mean inserting a standard WordPress gallery into a page or post? When you use WordPress’s built-in
[gallery] shortcode, the theme will automatically set them up to link to a lightbox. Check out this video: https://vimeo.com/16686184