Etching or what is called "Frosting" to plexy glass can be done by sanding the surface.
Etching is somthing that is done by sandblasting or a Etching cream.
You can also get stickers that are made from frosted vinyl that will give plexy glass a etched or sandblasted finish look when light is put to them. This is a example of a etched or frosted sticker
Kris from Wakespecialtys has mad amp racks and used a CnC machine to make custom logos that are engraved in the plexy they look awesome, Here is another picture of how Frosting works with light
the first pic is the ring 1/2 frosted and you can see the light shines where the ring is frosted the second oic is where the ring is totaly frosted