Recently completed an 'Anni mod' to a pair of OEM xenons so thought I would post up some pics.
The glass on the xenons cannot be removed without smashing the lens which is the most alarming thing about doing this mod but once you get over this the rest is fairly straight forward. The other thing is that all the chrome and reflective surfaces are very easy to mark, so as soon as the glass is broken precautions must be taken to prevent this. I used cling film just to stop any particles from touching the chrome. Also when I removed this I used a lens cleaning cloth to gently wipe any 'bloom' away on the chrome. (** CARE 15.06.08 update: If using clingfilm try not to let it 'stick' to the chrome as others have had problems with this. An additional precaution would be to place a cardboard shroud around the edge of the light casing and place the clingfilm across that, Credit to member 'Lim_walk' for that tip).
The replacement glass lens came from some aftermarket units. The glue on these could be softened by heating and came of fairly easy.
Then just needed to rub down the chrome cowling, prime and spray with satin black.
I fixed the glass lens back on with Sikaflex adhesive sealant which does the job very well and because its black, blends in well with the Anni mod and colour of the units.
Chrome cowling taken out
Chrome cowling rubbed down with 600 - 1200 wet and dry
Cowling first primed then painted up black
OEM glass smashed and groove cleaned of old adhesive and remaining glass particles (most difficult part)
New black cowling on - without glass
Sikaflex adhesive (I had a cartridge of this already that came with some bodykit - but would recommend it for the mod)
RH unit with glass put back on
RH close up
LH close up
I just painted up the cowling black as it seemed that anything thing more than this was going to be very difficult. For instance masking up any of the main chrome work on the unit would leave marks when it was removed. So I finished up whilst I was still ahead 
See guide/tips further down the post>