may or may not be the best way to do it but its certainly aobut the cheapest....i used the turtle wax rubbing compound on my 8 yr old se headlights and it worked great....
first washed them with dishsoap and water..dried and applied rubbing compound with a damp cloth...wiped off and rewashed and finished them off with some wax i had sitting in the garage...some areas require a bit more elbow grease than others but it definitely works...just dont scrub the surrounding painted areas

made a big big difference to the point where my girls father and brother both did their lights after seeing my car