I really wish I could set my headlight stalk to ON and that the power would be cut to the headlight/markerlights/any exterior lights when I remove the key.

As it stands, if I leave me lights on and lock the car the headlights go out but the car marker lights stay on.... I don't like this

any ideas?

2003 MCS

 

Turn off your lights?

There might be direct wiring, but you may have to go through the BCM - BCM would be much harder. If direct, you'd have to run a relay triggered by an ignition powered source, draw power and cut the original wiring.
Now that I think about it's probably BCM as you can turn on the signals on either side with the turn signal even when the car is parked (safety feature for parking on narrow roads.)

 

This is a feature that can be programmed. It is standard setup here in Norway.

 

2003 MINI did not have this option in the US. From my understanding if you want them you'll have to get the 2005 version of the stalk, and the dealer will have to program the auto headlight feature into the computer.