Please help me, if you didn't understand what i said please leave me a comment, thanks!
Render mode renders your final result in which wireframe objects will not show (that is by design as that is not desirable).
That render mode is interactive, so you can have 2 3d viewports open, one in shaded/wireframe/material mode so you can see all the objects and the other in render preview to see the lighting. What you do in 1st will update in 2nd. For Cycles and Blender Internal render engines the response will not be realtime though.
As you are using Blender Internal and there is no Global Illumination, you can get a phong shading preview also by switching from Multitexture to GLSL shaded viewport. Note that only spot lamps will produce shadows. You will get the same shading as in Blender Game engine.
You can also download an EEVEE Blender testbuild and play with this new realtime engine. You will be able to see all the wireframe in viewport an the shading at the same time.