Hello,
Thought i'd just cut and paste it as Tez explains it better than me anyway.
Can find further info in here - http://www.skylinesaustralia.com/forums/topic/403833-cloudy-headlights-no-more/
If you do decide to go the extra step and clear coat them, dont use a standard clear. I have used 3M Heat Proof Clear on my 350Z and S15 headlights previously. After prep, I did numerous clear coats, wet sanded them down and buffed them hard with my DA polisher to make them extremely smooth and shiny. Its not a necessity, just depends how anal you are.
I havent done anything to my R34 lights yet, still tossing up whether to restore or replace.