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Step 1: Step 1: Sand
It is a good idea to either remove the lens you are working with, or tape of the surrounding area so that you don't accidentally sand the paint.
Start with your 1500 sandpaper, and grab a little cup of water. Using plenty of water, sand the headlight lens for at least 10 or 15 minutes. Dry the lens occasionally and inspect the surface. Once the protective coating is gone, the surface should be even all around. If you still see any rock chips you can continue sanding to try to eliminate them as well.
Once you have an even surface with no coating remaining, you can move to the 2500 sandpaper. Using the same process, sand for another 10 minutes or so, until again the surface looks even and you can't see any scratches from the 1500.
Note: When you are done, the surface should be very smooth, but it will not be clear yet, it will still be foggy from the sanding.