When I shut off my headlights the engine shutters. What could cause this? Does this have to do with the vacuum lines in the head lights.

Most likely. You have a leak somewhere in the "off" position. See if you can hear the leak at the actuators. Its really hard to do if the engine is running, but if its a big enough leak to effect the engine idle, you should be able to hear it.

It could also be one of the relay valves leaking. They switch the vaccuum from one side of the actuator to the other. They go bad more often the the actuators themselves. The relays are up at the front, just ahead of the hood, when it is open. They are where all the vac. lines from the engine/light switch go, and then they split off, and go to the top and bottom of the actuators.
If the lights are actually going up & down properly, with no delay/hesitation, the actuators are probably ok.

You may just have to isolate each vac. line to the actuators, starting from the light switch, and moving forward, to locate the leak. Its time consuming, but effective.

Thanks, I will give that a try and let you.