Hard to believe this hasn't been answered in over a year. I just did this to my headlight lenses, but the fog light lenses are made of the same material so the same method will work for both. Actually, I have the rectangular style fog light lenses. I've never handled the round ones in person so I don't know exactly what they are like.
First take the fog light out and remove the bulb from the lens. Your owners manual will tell you how to do that. It'll be much easier than try to do this while it's on your car.
Start with medium grit sandpaper. I used 600 grit. You might be able to use something more coarse. Sand the lens until there are no more pits. As you sand the surface of the lens will become an opaque whiteish color. This is normal. Make sure this opaque whiteish color is pretty uniform across the whole lens before you move on to the next step.
Next, wet sand with 1200 grit wet/dry sand paper. After you've gone over the whole surface a few times with that do the same thing with 2000 grit wet/dry sand paper. Keeping the surface wet while you sand is important to getting it as smooth as possible. After this the lens still won't be perfectly clear but it will start looking better.
Finally to get the lens perfectly clear and like new, polish with a plastic polish like Meguiars PlasticX or something similar. It's a long process but it's worth it.