You do not need to unplug your headlights. I have just done my first track day a week past sunday and had a fab time.
I taped my headlight and rear light, removed my mirrors and made up a blanking plate to secure the fairing etc. I also removed the indicators and that was about it.
Essential that you check the bike over from head to toe!! Brakes are critical, tyres as well. Make sure that nothing is loose!! Guy lost his rear seat off his 888 Ducati and it got smashed to bits with every one running over it at high speed!!
Best advice is to take your time and get the tyres warm (a couple of laps should sort that out) and ENJOY yourself!!
If you check out my post above (Teds track day action pics and info) you can clearly see what I did to get mine suitable.
Hope this helps
I found some tape that matched the bike and peeled off without leaving a sticky residue behind. Just to make sure that the heat from the headlights didn't screw that up, I unplugged mine. Besides, might be good for .1 horsepower. LOL