This must of course, depend on the individual family. You know your own children best. As transvestites are inclined to be very self indulgent, the answer to this could well be 'yes'. Do not hesitate to tell him when you have had enough. Let him know if he hurts or offends you in any way.
Different people cope in different ways.
Be positive and try not to indulge in self-pity. In time many of us have been able to adapt and share this part of his life. This often enriches a relationship. Others have found they can tolerate the situation, although they continue to be unable to involve themselves in their partner's transvestism. Sadly, a few find they are totally unable to understand or accept.