I Can I use a Infrared heat lamp on my skin whilst doing a laser hair removal treatment or is it to be avoided?

You mention three different light sources. Avoid any light source including sunlight during the course of the treatment. We simply don't know enough to recommend exposure to any light source. What we do know suggests that you should not expose yourself to light. The purpose of laser hair removal is to destroy the hair; red light and infra-red both increase recovery of the hair follicle from laser-induced damage and is therefore contraindicated. 
Keep your legs covered up until they are hair-free!!