First, you need to say "the Lord," not just "Lord." So it should be either "the wrath of the Lord" or "the Lord's wrath."
Both are fine, really. The choice depends on what kind of impression you want to give your readers. "The wrath of the Lord" sounds very lofty, dramatic, and biblical. "The Lord's wrath" is more straightforward, and sounds more like modern speech (although the meaning still gives it a slightly biblical feel). A third option would be "the wrath of God." (Unlike "Lord," the word "God" is used as a name, so you don't need to put "the" in front of it.)
I think I would probably pick "the wrath of the Lord" (or "the wrath of God") simply because "Slow Dance and the Lord's Wrath" is harder to say, and it almost sounds like "dance" and "wrath" are intended to rhyme. If you want the title to be slightly less lofty/biblical, "God" might be a better choice than "the Lord." There's no difference in meaning, though, so it's mostly just a choice of how you want the title to sound.