there is a short somewhere that is allowing current to enter the headlight circuit. the fact that switching the ignition off has no effect is a sure sign that it is occuring inbetween the battery and the ignition. examine the headlight circuit diagram to see where it could be connected to the battery live BEFORE it enters the igniton switch. obviously any other circuit that is powered by the igniton can not be involved. you're lucky really as that rules out a lot.
if you get stuck try a multimeter on the earth wire of one of the lights. if there's power on the earth wire i'd suspect a major short to the chassis.
also check if the headlights switch off when you try to turn them on, if that happens i'd also think its a major short to chassis.
by the way, posting this in the bravo section would have been a good idea.
and i like the white colour, thats my favorite.