Deafskeptic, yeah, what Jiro said. A relay chip shouldn't be that difficult to install, although make sure you find a GOOD mechanic who knows what he's doing.
Most cars do shut off their lights when the ignition is turned off these days. My old Camry (1992) even did that. Of our current cars, the Volvo will turn the lights off immediately; the Z will turn them off in about 10 minutes or so. The manual says it is "not recommended" to leave the lights on, but at least there's an idiot-proof back-up system on it.
