When Rocky, my leopard gecko, sheds it seems like the last thing to come off is the skin on his face, head, and eyes. It looks like he can't see at all! Is this okay?
As stated Deirdra Strangio, if the gecko can and does still eat while in shed, it's not much of a real problem. One thing you can do to help speed the shedding process up is include a "damp" hide. This will give a slight boost to the humidity and help the gecko to remove it's shed.
A damp hide can be made from a deli cup with lid, place some sphagnum moss or paper towel inside it and spray it down with water. We use this method for our Leopard geckos and it drastically reduces the shed time and alleviates stress for the animal.
If it is eventually coming off then yes this is "okay" but it's not ideal. If the shedding process is taking too long, it means that the humidity in his habitat is too low. If this continues to happen and the new skin forms under the old skin over his eyes and the old skin never comes off, this can lead to infection and even eventually blindness in extreme cases (multiple sheddings stuck over the eyes). Once you notice he's about to start shedding, try to increase the humidity in his cage and also provide a humidity box as described by @Elefym