There is no dust or debris in your lights, and its already a very smooth surface, so why sand?
There is dust and debris in your headlights, since they're open to the outside air. There are little vent tubes that allow condensation to evaporate. Trust me, they're there.
And you always sand before painting. Smooth surface is the single worst thing paint to which paint will ahere. Sanding creates a surface for adhesion, otherwise the paint peels, especially in a high temperature environment. Dave's rage was quality, but I'm speaking from my own personal experience.