Would light guards make them harder to nick? Downside is the wing needs drilling..
Yep.
Main reason I fitted light-guards was to deter headlight theft.
The nuts for the inner bolts on the guards are just glued into the rubber stand-offs attached to the radiator grill so a knowledgeable thief could, theoretically, prise the guard forward and then snap it off to gain access to the headlights but most thieves are looking for the "easy pickings" so the guards provide a deterrent.
Course, I suppose it has to be said that D2 headlights aren't as attractive to thieves these days, most of whom are busy nicking Porsche headlights so they can use them for "hydroponic" activities.
Personally, I'd suggest binning the supplied installation kit (little plastic posts and fiddly nuts & bolts) and just put rivnuts in the wings instead, then use stainless bolts with a security head to attach the guards.
Also, instead of having the nuts glued into the rubber stand-offs, I got a short length of steel, put rivnuts in that and positioned it behind the rubber stand-off so the bolts are tightening into the metal plate rather than into nuts glued to a lump of rubber.
As an added bonus, last winter a tree fell into the road right in front of me, forcing me into a bit of impromptu off-roading, and some branches clipped the front corner of my D2, damaging the guard but the headlight survived.
£80 for the light guards isn't cheap but they could prevent your headlights getting nicked or damaged so they're worthwhile IMO.