Thanks to Paul Burger
I fond this on a BMW list. They have polycarbonate (good old plastic) glass covers, just like the SHO. Plastic polishing compound and wax can be had from your local speed-shop.
Subject: <E36> US solution to headlamp pitting
I think that the plastic headlight covers on US model E36's are made of a coated polycarbonate like my eyeglasses. If you look closely it seems that the problem with these covers is that the coating begins to come off in patches.
Frustrated with these lights one night, I decided that I would try to repair them before I went through the hassle of replacing them. I used one grade of steel wool to remove the remainder of the coating and then I followed up with a finer grade of steel wool to polish the plastic. Finally, I used Meguires No. 17 Plastic Cleaner - this step is essential.
I started with International Steel Wool Company's grade #1 (medium). Alternatively, you can use 1600 sand paper. Do not be alarmed - this will make the headlight cover fairly scuffed and cloudy.
Then I went to #0000 (finest) and polished for some time with this. Then I did a couple of applications of Meguires. I was really surprised and pleased with the result.
Disclaimer: Try this at your own risk, each SHO headlight assembly cost ~ $400. You ruin your own, I am sorry, but...