I have modified the headlights on my 2008.5 MS3. I painted the headlight bezels graphite, painted the cut off shield and did a clear lens swap. I also have an LED strip that runs along the bottom of the headlight.. although I rarely turn it on anymore.
The process is pretty simple, however, take your time if you have not done it before. Find someone local who has done this before to help you, if possible. A moment of carelessness can cost you dearly. Give yourself plenty of time to do this (start on a Saturday, so you don't have to worry about rushing yourself).
Place your headlight (one at a time) in the oven on a cookie sheet for approximately 15 minutes at 175-200 degrees. You may need to go longer (or shorter) depending on your oven.. so check it. You will know when it is done when the adhesive that holds the headlight together becomes malleable and can be stretched enough to pull the two sides of the headlight apart.
Once you have done this to both sides, unscrew the black piece that is held to the clear lens. After that, be careful in removing the bezels. They are held on by clips and can easily break. Once off, you can scuff them up a bit with sandpaper and paint with your desired shade.
At this time you can do a clear lens swap, paint your shield, etc. if you so choose.
When everything is complete, push the two pieces of the headlights back together. If there is not sufficient stock adhesive left, use some clear silicone to seal it. They also sell replacement stock adhesive, but you'll have to do a bit of research as to where. Place the headlight back in the oven for 10-15 minutes at 175-200 degrees. Once the adhesive has warmed up enough, you will be able to push the headlight back together completely, make sure that all the clips are back in place.
I hope that helps a bit. I think there are some comprehensive walk-throughs around here somewhere with step-by-step instructions and pictures. Let me know if you have any questions. =)
Some older shots: