wet and dry, 1000, then 2000, then 3000, all wet with a little washing up liquid in warm water, personally I would always remove the head light from the car, but to each there own.
Then dry and polish with tooth paste or cutting compound, this should result in a crystal clear 'glass', if not continue with the cutting compound until crystal clear.
Now you need to seal the 'glass' to prevent UV deterioration, a good car polish applied every couple of weeks should do the trick, however I will be trying 2K clear lacquer as this is 100% UV stable and stops paint from oxidising so I see no reason why it should not do the same trick for the lights, plus a little black paint in the lacquer will result in a nice tint to the glass (I run 55W HID's in projectors so a little light attenuation is acceptable)