Is this what you mean CH427?
5 pin 12volt relay
Pin 85 to earth
Pin 86 to ignition live (when you turn the ignition on you should hear the relay click)
Pin 30 to light circuit supply (after the light switch and before the bulbs)
Pin 87A to buzzer supply
Earth the other wire on the buzzer
If you turn the ignition off and the lights are on the buzzer will sound.
Disadvantage: It will consume a small amount of current while the ignition is switched on, regardless of the light switch position. But this wont be an issue
Shout if you need a hand
Note:
You have a fuse on the light circuit and you have a fuse on the ignition circuit, probably in the fuse box? They will protest this additional wiring, just in case a wire hits the chassis.