And, in agreement with those above .... :-)
As long as you don't go over the wattage, it'll be fine (well, I'm sure someone could design a very, very inneficient--more so than a normal incandescent--light bulb that created a terrible ammount of heat...).
Xenon bulbs have the same power draw as the Halogen bulbs they are designed to replace. If you are talking about headlamps (which, at least if you have a S13 240SX, you'll need new housing anyway), here is some info: H4 bulbs are usually 55/60W and H9 are usually 65W.
Here is a good article that discusses using higher-wattage bulbs:
http://catalog.com/susq/hella/bulb_help.htm
You really should use a more efficient light bulb--not a more power-hungry clone :-)(HID~35W < Xenon~60W < Halogen~60W)
*** edit: <'s should be >'s :thinker ***