I've baked headlights twice - once on each STI I've owned. The first one was the easiest, the 04, and that was just to remove orange reflectors. The 2nd was to install halos/angel eyes on the '08:
It was a total pain in the ass with these to get the halos to stay on right and not use to much epoxy or glue, etc., and you can't touch the insides of the headlights or else you will leave fingerprints. These aren't the best pics, but I did like the look on them and I know a few other guys that have them. Problem is, now everyone has them, so I don't know. And with the xenons, I think they most likely overpower the halos.