I usually mask off the outside of the lamp and body, and wet sand them with 1000, 1500 and then 2000. After that hit them with rubbing compound and a high speed wheel set to 2500rpm.
When you sand them, you will see the yellow coming off them. When that resides and you start seeing white, change to a finer paper to just remove the marks. You can do this a few time on a street car until the lights get too thin. Eventually they will fracture from the road debris.
If you go the paint route, they will eventually chip up from rocks ect., but you will have to completly knock the clear down to renew them. For a show car, this is the best route. For an everyday driver, I would just rub them out and repeat when needed. Just my 2 cents. Good Luck!!
BTW,
This works great for tail lights too. Sand them, buff them and then retrim them out with trim black paint.