Has anyone fitted one themselves?

How did you do it?

Mine switch off with the ignition would that be a better option?:

Tried that

Headlights go out when the key is fully removed but headlight switch left 'on' BUT all four sidelights still remain illuminated

Just been out to the car to confirm this.....

sounds like the follow me home setting gone awol

Sorry! - I didn't explain it clearly!

If I leave the sidelights on, they stay on and don't go out if I remove the ignition key which is why I thought fitting a warning buzzer would be a good idea.....

Sounds like you may have a fault on your Panda.
If the lightstalk is left with headlights on and you remove your key, all the lights should go out (it has been like that on all Fiats for a very long time). If after you have removed your key, you turn the light stalk it will put on your parking lights.

Thanks Santa.....