This is really going to depend on the type of glaze. The problem with glazes today is that manufacturers use the term glaze many times and its a blend of polishes, polishes and glazes or just fillers. If you are using a glaze that contains just microfine abrasives you can go straight to your sealant. Glazes do not contain any protective qualities and in many cases will remove sealants if applies over them. If you want to make sure a sealant will adhere to your surface you can always wipe the surface with a 50/50 solution of alcohol and water first. This will give you a properly preped surface for waxing or sealing.
I hope this help. If you have any other question don't hesitate to ask.
Brett @ OCD