I've come to the conclusion to NEVER clean your headlights. Sure, they may look really nice when you do it but after a couple weeks, it'll look 10x worse than before you cleaned them. Cleaning them removes the protective coating that the manufacturer put on them.
By the way, if you buy the Turtle Wax restoration kit, they have a protective pad inside that you can use to seal the headlights. I haven't used it yet because they say you need to do it on a warm day and make sure they don't get wet for 24hrs. I'm in NJ, those days never come...