TT My light switch is on auto which is what my dealer told me to leave it at, and my xenons go out as soon as I take the key out. What should I switch to, sorry bit dense when it comes to technical issues. lol 
Your light switch on the dash, to the right of the steering wheel, under the vent. From 'left to right' - it should have something like '0', then a picture of a tunnel (like an upside down capital U), then a likkle light symbol (side lights), then big light symbol (dipped headlamps). Set the switch to the 'tunnel' position - this is the 'auto' position.
Only other thing I can think of is that the time delay for the 'arriving home' (or whatever they now call it) has been set to zero. You can set different time delays for the arriving home (when you take the keys out and lock the car), to the leaving home (when you unlock the car).
Does this help?