According to Snopes, the watchdog site for misleading and false rumors, this is a legend, but I say sort of, because the "researcher" found out the FDA allows trace amounts of lead in the colors and dyes used in cosmetics, but amounts that of course are supposed to be so miniscule as to cause no harm. Here's the link:
"Easily Lead"
http://www.snopes.com/medical/toxins/lipstick.asp
<3 Lolly