Hey there! Dude! Your C5 looks awesome! I just picked mine up from the dealership today! I'm sooooo amp'd to start doing some mods to it! But I may need some advice here and there.... so I may run to you since yours looks so great! Lol.
Yes you have to bake it in a oven. It is not as easy as it sounds though. It took me a hour to get just one of the head lights open. When it is hot you have to go around the head light and get all that black silicone off the head lights. That is the hardest part to that. If you need more info let me know.
You have to remove the head lights from the car. You will have to take off the front bumper to take out the head lights. then the hard part begins you have to open up the head light. Took at least 1 hour per head light open. After that it is smooth sailing from there. If you want specifics let me know.