I bent a piece of 1/8 in steel into the shape of the headlight to fill the gap between my bumper and the headlight without too much trouble. Me thinks the plexiglass would be even easier to form since gentle heat makes it soft. Then you could cut it out afterwards with a dremel or something.
I will say, if somebody made, and sold headlight covers I would totally buy a set. By headlight covers I mean like a clear piece of plexi-glass that clips on to your headlight, and looks pretty much OEM. I have never seen a set in the states, but half the cars going down the road in Australia have them on their headlights, and their daylighters.