First, :welcome:.
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Are you simply looking to buff or are the headlights cloudy? If they aren't cloudy, in need of refinishing, then DO Not sand them. If they are cloudy and you are looking to refinish them then you need to wetsand them. There are kits for this which include the sandpaper at different grits, polish, and a drill adapter which saves your hands. I have used the 3M kit with excellent results.
There are a lot of opinions but for me 500, 800, 1500 and 3000 grits are good. Then polish and finally apply a sealant. There is a thread about using Helmsman varnish 50\50 mix. Good luck.