It depends on why they're fogged. If like I've experienced it's because of moisture on the inside of the lens (due to a failed seal) polishing them won't do any good. Also, some discoloration from UV exposure can go all the way through the lens. If either of those things are the case, replacement is the way I correct it.
I've had good experience with aftermarket headlight assemblies over the years. These days if I get headlight discoloring or I buy a used vehicle that already has it, I don't fool around with it. A new set of aftermarket headlights makes a world of difference in effectiveness and instantly takes years off the vehicle's appearance.