Once you've sanded down to 2000 grit you need to polish them out. At that point you've got a very uniform and refined scratch so it should be very easy to do with some plastic polish (like Meguiar's Plast-X) and a clean terry towel.

Meguiar's makes a headlight restoration kit that includes Plast-X and a wool buffing pad that you mount in a drill. The issues people have with it are they try to recondition lenses that are really far gone and/or mount the buffing pad in a cheap (ie low power) cordless drill. I have personally sanded dozens of headlights and then buffed them out with this tool and the lenses look brand spanking new. I know that these same lenses would have challenged the buffing pad and Plast-X without sanding first. You need to make sure you've got a very uniform sanding scratch with the 2000 grit and final buff out is a snap.