I spray painted mine with a clear coat. Some also use Minwax Helmsman Spar Urethane. You can apply it by using a lint-free towel, and wipe on with the liquid Urethane.
There's a thread at HIDPlanet about using films. You can buy precut like linked above or by a sheet and cut it yourself:
How to: Clear lens protection on curved headlights (incl 11yr aging result)