I am assuming your headlight covers are plastic, if so you picked up the wrong megs product, scratch x is meant for removing minor scratches/swirls in clearcoated paintwork. To be honest the before/after pics are pretty impressive for scratch x used by hand, though i don't know what kind of applicator pad you applied the scratch x with, as the abrasive nature of the applicator might hinder or improve your effort.
If your lamps are glass then it's even more impressive since it's much harder to remove defects in glass than clearcoated paintwork, you would need a proper glass polish to proceed in any further efforts, even something like Autoglym Glass Polish would be better.
I wouldn't say scratch x is crap, it's good at what it's meant to do, but you can only get limited results when using products by hand rather than machine. Don't throw it away you can use it on other things like mobile phone screens or any other HARD plastic (not flat screen tv's and the like), and a clearcoared/lacquered surface like a kitchen worktop.
Megs also sell a product called PlastX which is designed specially for cleaning up plastics. Here is a thread on a car detailing site of PlastX being used after flattening with sandpaper.
Audi headlight reconditioning by wetsanding and Rotary
I do realise it is being used on a rotary polisher, but you can replace that with a decent applicator pad and some elbow grease, though i doubt hand application would remove sandpaper marks.
By the way i recommend that forum for advice on other matters, the guide section has some very useful information on washing technique, polishing methods and techniques and a lot of professional detailers post there details in the showroom/studio sub forums.
If you want near factory condition lights by hand application of products you won't succeed, i would say 50-60% correction tops, you could go the machine route and get a cheap silverline random orbit sander/polisher or a rotary one if you are used to machines of that nature.
Looking at the paintwork pics, are those black marks actually scratches?
If they are scratches that have penetrated the clear and colour coats then no amount of polishing will remove them, most of the time if you can feel the scratch when running your fingernail over it then it won't polish out, though you can lessen it's obviousiness.
