Yea, I presented this problem that I have noticed before on JeepForum, one of the members was nice enough to take the time and draw a rough sketch of relay that used a buzzer to warn you when the engine was off and the lights were still on. Sadly however; I never saved the image and there is no way of getting it back since I am now banned from that forum and all of my posts would have been deleted.
I will say though that I would believe the buzzer to be a better way to do it for me. I sometimes need the lights on when I would prefer to have the jeep off, and I'd be alight with having a buzzer going off at that time. That way you're not taking away a function of the jeep that one would normally have. Do what you want though; me, I'm going to try and find another map for the buzzer so that I can finally get that done.
I do have to say though: I Love everything about the YJ's, except for the times where you get the dead battery click because you never turned the headlights off.