I was asking the same question the other day at the auto parts store. A friend of mine who has an XJ works there.
He told me that he put a cheap brand of fog lights on his jeep. When they were hot and got wet (from going through a puddle) the glass cracked.
I don't know if this would only happen with the cheap ones but it's something to think about.
Or you could make sure you don't go through puddles when the lights are hot