depends how bad they are, when i first bought my car they weren't too bad, but noticeably yellow. i just use carnauba wax from mothers, i got a clay bar, small bottle of wax and instant detailer for around $30 from autopro, dont sand them unless they're really really bad and clearcoat them or something, i did this on my mazda and they turn yellow every few days now. heres a pic of the wax i use (on the left) on the bottle is says 'removes oxidation' which is that yellow shit. this stuffs pretty good, i wash my car once a week and i only have to wax my lights once a month, all u need is one quick coat which takes 2 minutes.
heres pics when i 1st got my car
and heres pics now
pics arnt the best sorry, they wernt taken for the headlights, there just random pics on my comp