I've done a few without any problems, look like new afterwards if you take your time.
1500 grit wet and dry, and copious amounts of soapy water until you have an even fog over the lens - it will look terrible at this point. Then move onto 3000 grit, then 4000. Then use a cutting compound, then a final polish, followed by some UV protection for headlights.
It takes a bit of nerve, as they look a lot worse before they get better. I can't stress enough about the soapy water - keep washing the wet & dry, and the headlamp, or you will end up with scratches.
You could always get an old headllamp to practice on first.