I found the following definition for lexicographical ordering on Wikipedia (and similar definitions in other places):
Given two partially ordered sets $A$ and $B$, the lexicographical order on the Cartesian product $A \times B$ is defined as $(a,b) \le (a',b')$ if and only if $a < a'$ or ($a = a'$ and $b \le b'$). The result is a partial order. If $A$ and $B$ are totally ordered, then the result is a total order as well.
Does this definition work equally well if $A$ and $B$ are preorders, rather than posets? In other words, does the anti-symmetric property of the ordering relations on A and B make any difference here?
Yes, if $\langle A,\le_A\rangle$ and $\langle B,\le_B\rangle$ are preorders, the same construction yields a preorder $\langle A\times B,\preceq\rangle$. Specifically, for $\langle a,b\rangle,\langle c,d\rangle\in A\times B$ define $\langle a,b\rangle\preceq \langle c,d\rangle$ iff $a<_A c$, or $a\le_A c$ and $b\le_B d$. Clearly $\preceq$ is reflexive, so you have only to check that it’s transitive.
To that end suppose that $\langle a,b\rangle\preceq\langle c,d\rangle\preceq\langle e,f\rangle$; clearly $a\le_A c\le_A e$. If either $a<_A c$ or $c<_A e$, then $a<_A e$, and $\langle a,b\rangle\preceq\langle e,f\rangle$. Otherwise we have $b\le_B d$ and $d\le_B f$, so $b\le_B f$, and again $\langle a,b\rangle\preceq\langle e,f\rangle$.