Wet sanding any surface requires patience. There are no corners you can cut and the elbow grease you put in will speak volumes to your end result. First remember that the lower number on your sandpaper is coarser and the higher the number the more fine the sandpaper.
Keep your sandpaper clean and wet as you work through the project, and to extend the life of your wet sanding paper use a little car shampoo in your water bucket. The little bit of car shampoo helps keep the sandpaper clean and reduces friction. We recommend starting with a less aggressive sandpaper like 2000 or 2500 grit and testing an area of the headlights. Keep your sanding strokes in one direction and then switch directions to overlap the sanding scratches. As you sand you will see white or yellow film running off of the headlights. This is why spraying the area with your bottle of water and dipping your sandpaper into clean water is a good practice. Inspect the headlight and look for yellowing or cloudiness that you may have missed. If you feel like you are not making any progress step down to 1000 or 1200 grit sandpaper. This will speed up the project but take your time so you do not overdo it.