EGP is a sealant and the HD wax is a carnauba wax.. Basically both will do the same job, i.e. protect the paint from contaminants, so its generally a case of personal preference.. Although, if you want you can use both but if you do, use the egp first then followed by the hd wax.. The EGP may not properly bond to the paint if its put on top of the wax and thus reduce its life which is why the sealant goes first..
Also, some people say that the wax on top adds a certain warmth to the paint.. I have the Hd wax myself and find it excellent, it has lasted ages on my car