Have to admit I have never left the headlights on in the TR7 as they stick up so are quite visible! I don't drive on sidelights so, as it the same switch, they all get turned off together.
That's what I like about my Saabs. With the headlight switch in the headlights on position they go off when you turn the car off and come back on when you start it, cannot be left on. I normally drive with the headlights on and do not use the sidelights position. You also cannot remove the key unless the shift is in Park (or 2nd gear in a manual).