Went at the headlights today too. Sanded the driver side with 800, 1200, 1500 and 2000 and then buffed it. Decided the passenger side only needed a bit of sanding with 2000 (enough to get the old yellowed coating off). Sanding marks were still visible after extended buffing, though it looked great from a distance. Got some spar urethane and mineral spirits from Home Depot, mixed them 50-50 and brushed them onto the headlights, and it looked fantastic... until it dried.
Oops! Bought semi-gloss instead of clear gloss. Maybe it'll buff out clear? Worst-case, I'll peel it off and get the right stuff.