Should the headlights close when I have then engine off and then turn off the lights?

Under normal circumstances, yes, assuming you are turning them off soon after shutting down the engine. Vacuum is required to lower the buckets, so if vacuum bleeds off too quickly they will not close. KOPBET2008-04-01 17:35:31

Yep, KOPBET is right IF your vacuum system is in peak shape.  Most Ive seen wont close, or at least wont close all the way with the engine off.  Mine will if I turn them off immediately after shutting off the engine but Ive had to change most of the components in the headlight vacuum system to get them to that point.  If yours wont close after engine off, you are probably in the majority. Im sure others will chime in.

Same here.  New valve up front, new cannister up front, seal change on the other one, new check valve, new filter, new hoses on some lines and I still have to shut them off BEFORE I shut off the engine.

If that's the worst I have to put up with, I can live with that.

Some systems will work better than others. MOST will not close OR open without the engine running. The later cars are the worst, because of the extra vacuum systems in them, for the A/C-Heat stuff and such(ie: smog crap).
Getting the headlight (and wiper doors on the early cars) working properly can be a pain, but they can be fixed. Adams' Apple2008-04-01 19:07:47

I consider myself lucky.

On my '76 I always turn the lights off before I shut the engine off, and yes I hear that great clunk also! I think the system has a release for the built up air after the engine is off , so you may not have an air leak. If I turn on the lights shortly after the engine has been running the lights will not go up with the engine off.

Normally, this problem will be related to a vacuum loss/leak somewhere in one of the systems. It could be a leak in the brake booster, the HVAC, or the headlight system. The best way to determine where it is is to block off the individual systems one at a time, until the leak is found.
With the engine running, it can be almost impossible to hear the leak(s), so I use my A/C Evacuator pump, with a long hose. It provides the vacuum, and I can hook it up to individual components, to see where the leak is. It takes a little time, but eventually, it works.
The first thing to check is the vac. check valve on the engine, where the main vac. comes off from the intake. If the check valve is leaking, then all of the vac. that would normally be stored in the reservoir will be lost back thru the engine side. The check valve has one fitting on one side, and two on the other side, with the one fitting going to the engine vac. source. If you can blow thru the one side fitting with your mouth, the valve is leaking, and should be replaced.
The check valve is the most common problem that comes up when diagnosing a vac. issue.