Can I connect 500K resistor directly to the mains?
The answer is 'it depends'. Resistors also have a maximum voltage rating. If yours is rated for >350v (240v AC peak = 240x1.41), it should be ok.
Example datasheet: http://www.vishay.com/docs/28722/sfr16s25.pdf
You will want to keep a 50% 'margin' on both wattage and voltage rating to be on the safe side and also keep an eye on the enclosure - if the temperature around the resistor(s) gets too high, you need to de-rate the allowable power dissipation.
On your second question, you are correct. Using two resistors of half the value in series will halve the voltage across them. Since the current is the same, you will halve the power dissipation. This also allows you to use a lower voltage rating.
Some more reading material: http://www.vishay.com/docs/49873/49873_sg2113.pdf