Again, it depends on the condition of your lenses. Start with fine grit and work up if that does not do the job.
One thing that we discovered when we recently did a friends headlights was that the lenses were scratched on the INSIDE. Not sure how that happened but once we painted the chrom trim to gloss black to match his car the internal scratches were very obvious.
My recommendation is once you get the outside polished, be prepared for the potential of interior imprefections. The lenses are easy to remove and polishing the inside is relatively simple to do, but hopefully you will not have any to deal with.
Laura - many people have had success just using a clay bar similar to what they'd use on their paint. As Rob and others have stated (just as with your paint) start with the least agressive polish or treatment and work your way up.
The 3M kit soup references above has had good reviews from many people.
Just remember, patience and time get you the best results.
Yeah, I should add that the 3M kit has three levels of abrasive, the tan discs (400 grit IIRC) the white 800 and the grey foam 1500. If your headlights aren't bad, you might want to start with the 800 (or even the 1500) rather than the tan discs. Use plenty of water!
With lightly faded or pitted covers an hour with some polish will get it done. Sadly I have seen units that require a lot of aggressive effort to get down to a level surface.
Fading / light film = minor polish
Some pitting = sanding down to the bottom of the pits, then polishing back up to an optically smooth surface
Deep scratches and pitting = aggressive sanding down to the smooth surface and then polish
As has been said, do an inspection then start with the least invasive method you can and go from there.
Even working with a very mild abrasive you will get there eventually, it just may take a long time. The reason that there are multiple levels of abraisive in the kits is to cover all cases.
Use the toothpaste first since its essentially free. If you are not satisfied with the results, then move on to the kits mentioned. There are YouTube vids created by the companies on how to apply them, step by step. I have personally used the Meguiar's heavy duty kit and it worked great. The second to final step in the kit I bought is applying PlastX, which is included in the kit. You can buy it individually without the kit and just use that like someone just posted. 3m makes a great one also. I believe Consumer Reports did reviews on a few different kits.