When I originally sanded my headlights..I'll tell you the truth it didn't seem to work.
The results will happen all at once. I Wet sanded them using my electric sander w/ 1500 grit sandpaper. It took 30 minutes per headlight. You'll know that you need to keep going if when you dry it off it hazes up immediately. What you should do is either switch to a 2000 grit paper or continue to sand with the 1500. After a LONG LONG time, the results will show up. I didn't have wax and my dads experimenting with tire shine(meguiars) on the headlight produced a pretty much factory-new headlight. It lasted for about 1 month. By then though I already had my plastic wax so I was fine.
~darp~
The moral of the story is keep sanding.