Some go to Walmart and let some part time employee finish them, I would NEVER do that. If they are not careful, you will be paying a body shop to fix the damage to the surrounding paint.

Wet sanding is the best method.

I wet sand them with 600 grit paper, then with 1000 grit and then with 1500 grit if I can find it.
Cover nearby painted surfaces with duct tape, DO NOT scratch the surrounding areas. Keep the lenses wet and the paper wet (that is, use WET sandpaper, from a hardware store).
Do this until the lenses are smooth to the touch and covered with ZILLIONS of stratchs . Once you get them smooth, apply MeQuair's PLASTx with a cloth and wipe, then rub it off. Repeat the PLASTx a few more times.

Mine were pretty bad when I brought the car home. This took me 45 minutes, looks pretty good I think.
Notice the lower-left corner, that entire lens looked like that when I started. For a longer-term fix, polish the finished product.