Sorry, what Richard has said explains what mine does nicely :)
If you're not bothered about being able to turn the lights on with the ignition off etc, and want to retain using the switch, what you could do is put a relay in line with the ground wire to the switch. That way, you can put the switch to either sidelights, dipped beam or off, and it will work as normal, so long as the ignition etc is on. When you turn the car off, the relay goes off and thus the ground to the switch is interrupted, and the lights go off without you having to think about it. At the same time, if you don't want them on, you can turn them off with the switch as normal. You just wouldn't be able to turn them on without the ignition or accessory position turned on.
As mentioned earlier, the lights can be programmed as 'daytime running lights' to include the tail lights and dipped beam so they'd be on all the time. I don't know if the dash lighting is included in that though - so at night you'd still have to turn the switch on to light the dash up, and then when you turned the car off, the headlights would stay on... defeating the point somewhat. Plus, you wouldn't be able to turn them off if you actually wanted them off without reprogramming the options.
China china, cheapo china, is there a difference? :)