Correct. You'll start with the 400. Make sure to keep your paper wet, and keep rinsing it to get plastic out of the grit. Cannot have too much water! It will make them look horrible, and you will question everything. Keep sanding until all of the yellow tinge comes out of the white plastic slurry that is being made. The yellow is what you are trying to remove. You just about cannot possibly sand through the lens, so get it all out. Also, hit around the edges and corners of the lens, as the yellow there "shines through" the lens, and makes it look yellow, even when the surface you are looking at is clear. Then step to 800. Camp out on that for a while. Then 1000, 1200, 1500, 2000, then 3000 (even 4000, if you have it). At this point, it should start looking like a lamp again. Polish with the plastic lens polish. It should take a solid hour to do each lamp, to put it in perspective.

Also, remove the rubber gasket from around the lens. Makes cleanup and the job itself easier. It probably needs a bath, too. One last thing. Keep the rubber caps on the backside on while doing this, if possible. It will prevent the wet slurry from entering and making a new mess of the insides.