I am in Luskan and have killed the two high captians and have their heads, what do I do with them, is there someone I give them to for some XP points?

Maybe that Oreth guy? I didn't do his stuff, but I did return one of the heads to the other high captain before killing him also. I ended up dumping the second head because nobody wanted it that I found.

If you have both heads already you missed your chance at xp and gold. As Cienden said, you should have taken one of the heads to the other captain, then either killed or convinced that captain to give you his seal. The two seals are needed to advance to the tower.

Oh, didn't know that. When I walked into the other captians stronghold he just attacked me. Hope I didn't miss out on to much.

you can only get reward for one of the heads, and that is by delivering the head of one captain to the opposite captain, when you have done that loot the seal from one of the captains (you are free to kill both) and deliver the seal to gend, he will make you the pass to the arcane brotherhood